This monologue-style podcast is a lecture on asset pricing models, focusing on their testing and application in portfolio management. The speaker begins by outlining the class structure, covering asset pricing tests, bonds, derivatives, and factor strategies, before addressing student questions regarding upcoming quizzes and a final project involving investment policy statements. The main body delves into the limitations of the Capital Asset Pricing Model (CAPM), exploring its flaws and subsequent improvements through multi-factor models like Fama-French. The lecture concludes by discussing practical applications of factor strategies, including momentum and value, in commodities and multi-asset portfolios, with the speaker even sharing insights from their own futures trading portfolio as an example. The overall aim is to equip listeners with a robust understanding of asset pricing and portfolio construction techniques.
