http://allaboutalpha.com/blog/2007/02/20/bernstein-goes-to-bat-for-crap-capm/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Fri, 19 Mar 2010 07:52:26 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2007/02/20/bernstein-goes-to-bat-for-crap-capm/comment-page-1/#comment-93221 allaboutalpha.com: AllAboutAlpha.com Tue, 25 Mar 2008 02:09:21 +0000 http://allaboutalpha.com/blog/2007/02/20/bernstein-goes-to-bat-for-crap-capm/#comment-93221 [...] Vanguard puts a decidedly behavioral spin on the search for alpha that is reminiscent of a debate between Peter Bernstein and James Montier last year (see related posting).  “As long as investors make behavioral and informational errors, there will be opportunities to outperform the market. Many investing decisions are emotionally driven. On any given day, investors may underreact or overreact to news, trading securities at prices unequal to their real values.” [...] [...] Vanguard puts a decidedly behavioral spin on the search for alpha that is reminiscent of a debate between Peter Bernstein and James Montier last year (see related posting).  “As long as investors make behavioral and informational errors, there will be opportunities to outperform the market. Many investing decisions are emotionally driven. On any given day, investors may underreact or overreact to news, trading securities at prices unequal to their real values.” [...]

]]> http://allaboutalpha.com/blog/2007/02/20/bernstein-goes-to-bat-for-crap-capm/comment-page-1/#comment-2215 All About Alpha » Blog Archives » Columnist throws out alpha baby with beta bathwater Mon, 19 Mar 2007 13:01:43 +0000 http://allaboutalpha.com/blog/2007/02/20/bernstein-goes-to-bat-for-crap-capm/#comment-2215 [...] Even if markets for many individual securities are efficient, inefficiencies can also exist on a macro scale.  In a recent interview, Peter Bernstein characterized markets as ”macro-inefficient”: “The market is hard to beat. Nobody says it isn’t. But the markets are macro-inefficient and this means that risk and return for the market as a whole can go haywire.” [...] [...] Even if markets for many individual securities are efficient, inefficiencies can also exist on a macro scale.  In a recent interview, Peter Bernstein characterized markets as ”macro-inefficient”: “The market is hard to beat. Nobody says it isn’t. But the markets are macro-inefficient and this means that risk and return for the market as a whole can go haywire.” [...]

]]> http://allaboutalpha.com/blog/2007/02/20/bernstein-goes-to-bat-for-crap-capm/comment-page-1/#comment-1633 All About Alpha » Blog Archives » Managed Accounts USA: Conference notebook Thu, 15 Mar 2007 01:45:39 +0000 http://allaboutalpha.com/blog/2007/02/20/bernstein-goes-to-bat-for-crap-capm/#comment-1633 [...] University of Toronto’s Felix Chee on efficient markets:  “Markets are efficient, just not effective.  Markets are virtually frictionless †that is, they price securities according to all available information very quickly.  But markets are not good at determining if this information is fact or fiction.” (Ed: This “ineffectiveness” is reminiscent of Bernstein’s “macro-inefficiency” argument). [...] [...] University of Toronto’s Felix Chee on efficient markets:  “Markets are efficient, just not effective.  Markets are virtually frictionless †that is, they price securities according to all available information very quickly.  But markets are not good at determining if this information is fact or fiction.” (Ed: This “ineffectiveness” is reminiscent of Bernstein’s “macro-inefficiency” argument). [...]

]]> http://allaboutalpha.com/blog/2007/02/20/bernstein-goes-to-bat-for-crap-capm/comment-page-1/#comment-1554 All About Alpha » Blog Archives » All About Alpha Exclusive: An interview with Alexander Ineichen, author of “Asymmetric Returns” Fri, 09 Mar 2007 19:59:25 +0000 http://allaboutalpha.com/blog/2007/02/20/bernstein-goes-to-bat-for-crap-capm/#comment-1554 [...] I saw that debate between Peter Bernstein and James Montier.  I think Bernstein is spot-on when he says CAPM shapes the way we think about markets and about managing money.  I’d argue that the whole idea of benchmarking comes from that sort of thinking.  But we now need to move on.  I’d argue that there is something beyond these ideas from the 1960’s. Â I attempt to address this by writing a book - but it contains just one point of view.  It’s certainly not going to replace financial textbooks.  But we need to move beyond orthodox finance which argues that markets are perfectly efficient and random. Â That is so untrue it hurts. Â Ã‚ Ã‚  [...] [...] I saw that debate between Peter Bernstein and James Montier.  I think Bernstein is spot-on when he says CAPM shapes the way we think about markets and about managing money.  I’d argue that the whole idea of benchmarking comes from that sort of thinking.  But we now need to move on.  I’d argue that there is something beyond these ideas from the 1960’s. Â I attempt to address this by writing a book – but it contains just one point of view.  It’s certainly not going to replace financial textbooks.  But we need to move beyond orthodox finance which argues that markets are perfectly efficient and random. Â That is so untrue it hurts. Â Ã‚ Ã‚  [...]

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