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MICERs chase volatility instead of cheese

MICERs are on the prowl again. And by following them an investor, with a good aim and on her or his lucky day, might even find out some interesting information about undervalued (overvalued) stocks to add (subtract) to his portfolio and reap a refreshing excess return. An update on S&P

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S&P 500 implied returns valuation

MICERs are Market Implied Consensus Expected Returns and are the result – in terms of risk premium – of a reverse optimization using some available market information about variances, covariances and capitalizations. Investors express their views about stocks by collectively holding the market portfolio, by doing so market capitalizations represent

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Posted in MICERs
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