Applying Beta to Portfolios of ETFs
October 21, 2010 - Volatility Effects
Is beta an effective tool for selecting exchange-traded funds (ETF)? In their October 2010 paper entitled “Black Swans, Beta, Risk, and Return”, Javier Estrada and Maria Vargas investigate the usefulness of beta as a metric for constructing portfolios of country and industry ETFs. They use the MSCI world market index (consisting of developed markets only… Keep Reading