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Par Alain RUTTIENS, NEURON s.à.r.l.*
ETFs – a great success story…
By end of 2018, there was more than $ 5 trillion invested in ETF funds around the world. To understand – and assess – this major market, we need to go back by about 60 years: in the 50s and 60s, Harry Markowitz, followed by William Sharpe (a Nobel prize) established the theory of portfolio management known as CAPM (for Capital Asset Pricing Model).
The goal of this theory was to optimize the content of a stocks portfolio, in terms of its return and its (market) risk. The outcome of this theory was surprisingly simplistic, therefore hard to admit: on a given market the optimal portfolio is the one investing in all the stocks traded in this market, in...
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