Search found 5 matches

by efalken
Sat Sep 10, 2011 4:04 pm
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16908

verde follow up

verde: You appear to agree geometric vs. arithmetic average as an appropriate adjustment, so that's 2%. You state "The ERP is a forward looking concept. The historical ERP does not reflect the expected ERP priced by the market over this period." That seems rather anti-empirical. 100 years and 17 cou...
by efalken
Thu Sep 08, 2011 12:04 pm
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16908

quick reply

I don't have time to talk too much, and appreciate the criticisms. So quickly: 1) Per being long-winded, I do write a blog, which has made summary arguments often. I'd put a link to my most succinct posts but spam filters prevent that for newbies on this site like me. I wish I had an editor, I know ...
by efalken
Tue Sep 06, 2011 12:03 pm
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16908

follow up

Indices: for a 50-50 bond-stock split, that seems like it would lower volatility, and not affect return, so it should improve one's Sharpe. Yet, personally I'm bearish on bonds, for reasons outside my theory, but those are always at work (and must admit my market timing record has been historically ...
by efalken
Tue Sep 06, 2011 10:39 am
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16908

Falkenstein Responds

I'm Eric Falkenstein, and I was notified of this discussion by Bill Lohss. My basic argument is that as a first approximation, risk--however measured--is negatively correlated with average returns. At best uncorrelated. The best evidence is the equity premium, the Aaa-Baa spread, and the short end o...
by efalken
Tue Sep 06, 2011 10:17 am
Forum: Investing - Theory, News & General
Topic: Is there any proof of correlation between risk & return?
Replies: 212
Views: 16908

risk and return

test...want to make sure I'm in the right forum