Study finds asset pricing model fails to predict investment performance.
The C-CAPM model was tested to see if it can explain Sharpe ratios across different investments. Different models were used to predict how an asset's correlation with overall consumption growth affects its Sharpe ratio. The results from studying US and international portfolios showed that the C-CAPM model has limitations. While Sharpe ratios vary a lot, most portfolios have similar and low correlations with consumption growth.