Portfolio A returned 9.20% p.a. over the evaluation period compared to 5.00% p.a. for the S&P 500. This equates to a difference, or outperformance of 4.20% p.a. However, according to CAPM, the annualized alpha of portfolio A is 4.74% p.a. Explain the difference between the two numbers.
Portfolio A returned 9.20% p.a. over the evaluation period compared to 5.00% p.a. for the S&P 500. This equates to a difference, or outperformance of 4.20% p.a. However, according to CAPM, the annualized alpha of portfolio A is 4.74% p.a. Explain the difference between the two numbers.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Portfolio A returned 9.20% p.a. over the evaluation period compared to 5.00% p.a. for the S&P 500. This equates to a difference, or outperformance of 4.20% p.a. However, according to CAPM, the annualized alpha of portfolio A is 4.74% p.a. Explain the difference between the two numbers.
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