I show by the example of my portfolio "somewhat better than DUCKS" that CAPM alpha is a very non-robust measure of performance as well as that linear regression on an index should be considered very critically.
Recently, one of my facebook contacts has meant that my portfolio "Somewhat better than DUCKS" repeats the DAX with a beta but without alpha. He even did not make an effort to calculate the linear regression before making this statement. However, even if he did, the results would not be comprehensive.
Continue reading "Seeking Alpha and finding nonsense – never trust CAPM and linear regression blindly"