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Basically I have been given an assignment based around CAPM, the majority of it is done but the only issue is towards the end.
Data: Using data from Yahoo Finance/Global Business Browser/Datastream, you are to create three portfolios of shares (use a minimum of 12 FTSE 100 companies for each portfolio). Portfolio A: include shares with betas of less than one, Portfolio B: include shares with betas of 10enaliz 1; Portfolio C: include shares with betas greater than 1.
Method: You are to calculate the average monthly return for the three portfolios for the period 2009/10, 2011/12, 2013/14 and a 5/6 year combined portfolio and compare the portfolio performance with reference to the effectiveness of the model.
I have done the first bit and created the 3 portfolios and I have done the second bit of calculating the average monthly return for the 3 portfolios. The only issue I am having is trying to compare the portfolio to the effectiveness of the CAPM model. Any ideas?
Data: Using data from Yahoo Finance/Global Business Browser/Datastream, you are to create three portfolios of shares (use a minimum of 12 FTSE 100 companies for each portfolio). Portfolio A: include shares with betas of less than one, Portfolio B: include shares with betas of 10enaliz 1; Portfolio C: include shares with betas greater than 1.
Method: You are to calculate the average monthly return for the three portfolios for the period 2009/10, 2011/12, 2013/14 and a 5/6 year combined portfolio and compare the portfolio performance with reference to the effectiveness of the model.
I have done the first bit and created the 3 portfolios and I have done the second bit of calculating the average monthly return for the 3 portfolios. The only issue I am having is trying to compare the portfolio to the effectiveness of the CAPM model. Any ideas?