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Considering tracking your portfolio performance relative to specific benchmarks, Cramer says "diversification is the only free lunch". We also know that Fama/French/Carhart have empirically found that anomalies have existed in the secondary markets...and that CAPM may not fully capture all systematic/market risk. Our own FIN3460 students (West, Enzor, and Stinnett) have also found that a Low-Beta portfolio might offer a sustainable abnormal return. How might you react to the above, in terms of your understanding of the Efficient Market Hypothesis, and you attempting to diversify-out all unsystematic risk in your portfolio…and concurrently attempt to achieve a sustainable positive alpha across actively managed portfolios?

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Financial Management, Finance

Category:- Financial Management
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