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Life after MPT

Modern portfolio theory (MPT) is questioned by many in the financial advisory industry and for good reason. An ever-growing empirical research stream soundly rejects the three MPT pillars of mean-variance optimization, the capital-asset pricing model (CAPM) and the efficient markets hypothesis (EMH).

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The Active Equity Renaissance

The Active Equity Renaissance is a series of posts by AthenaInvest's Founder and CIO, C. Thomas Howard, PhD, and Jason A. Voss, CFA, retired co-Portfolio Manager of the Davis Appreciation and Income Fund. It proposes an alternative to modern portfolio theory (MPT), and pokes holes in MPT’s underlying assumptions. Ways to improve active management returns are discussed throughout.

Read the Series on Enterprising Investor 

The Active Equity Renaissance: New Frontiers of Risk

One modern portfolio theory (MPT) pillar that is unquestionably broken is the use of volatility, specifically standard deviation, as a measure of risk, Jason Voss, CFA, and C. Thomas Howard write in the latest edition of The Active Equity Renaissance series. This initial error in MPT's development is a major contributor to active investment management underperformance...

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