Year ASX 300 Index ASX 300 Dividend Yield (%) Return_risky portfolio 2010 4760.79 3.76 - 2011 4052.27 4.93 -0.147788 2012 4626.27 4.33 0.142718 2013 5304.8 3.99 0.147531 2014 5348.93 4.24 0.009118 2015 5249.09 4.72 -0.017783 2016 5617.73 4.09 0.071008 2017 6023.3 4.04 0.072914 2018 5596.96 4.48 -0.070038 2019 6647.74 3.95 0.188447 2020 6574.33 2.82 -0.010619 Average Std.dev 3.86% 10.56% Year Risk free rate (%) Return_risk-free asset 2011 4.51 - 2012 3.11 -0.309484 2013 2.61 -0.163052 2014 2.75 0.055662 2015 2.34 -0.150000 2016 1.78 -0.238503 2017 1.77 -0.005618 2018 2.02 0.141243 2019 0.90 -0.554455 2020 0.02 -0.977778 Average 2.18 -24.47% Calculate: Assuming E(Rc) = 7%, use E(Rc) = Rf + y* (E(Rp) - Rf) 1. % of Risky Assets: 2. % of Risk Free Assets: 3. Standard Deviation of the portfolio
Year ASX 300 Index ASX 300 Dividend Yield (%) Return_risky portfolio 2010 4760.79 3.76 - 2011 4052.27 4.93 -0.147788 2012 4626.27 4.33 0.142718 2013 5304.8 3.99 0.147531 2014 5348.93 4.24 0.009118 2015 5249.09 4.72 -0.017783 2016 5617.73 4.09 0.071008 2017 6023.3 4.04 0.072914 2018 5596.96 4.48 -0.070038 2019 6647.74 3.95 0.188447 2020 6574.33 2.82 -0.010619 Average Std.dev 3.86% 10.56% Year Risk free rate (%) Return_risk-free asset 2011 4.51 - 2012 3.11 -0.309484 2013 2.61 -0.163052 2014 2.75 0.055662 2015 2.34 -0.150000 2016 1.78 -0.238503 2017 1.77 -0.005618 2018 2.02 0.141243 2019 0.90 -0.554455 2020 0.02 -0.977778 Average 2.18 -24.47% Calculate: Assuming E(Rc) = 7%, use E(Rc) = Rf + y* (E(Rp) - Rf) 1. % of Risky Assets: 2. % of Risk Free Assets: 3. Standard Deviation of the portfolio
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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Concept explainers
Risk and return
Before understanding the concept of Risk and Return in Financial Management, understanding the two-concept Risk and return individually is necessary.
Capital Asset Pricing Model
Capital asset pricing model, also known as CAPM, shows the relationship between the expected return of the investment and the market at risk. This concept is basically used particularly in the case of stocks or shares. It is also used across finance for pricing assets that have higher risk identity and for evaluating the expected returns for the assets given the risk of those assets and also the cost of capital.
Question
| Year | ASX 300 Index | ASX 300 Dividend Yield (%) | Return_risky portfolio |
| 2010 | 4760.79 | 3.76 | - |
| 2011 | 4052.27 | 4.93 | -0.147788 |
| 2012 | 4626.27 | 4.33 | 0.142718 |
| 2013 | 5304.8 | 3.99 | 0.147531 |
| 2014 | 5348.93 | 4.24 | 0.009118 |
| 2015 | 5249.09 | 4.72 | -0.017783 |
| 2016 | 5617.73 | 4.09 | 0.071008 |
| 2017 | 6023.3 | 4.04 | 0.072914 |
| 2018 | 5596.96 | 4.48 | -0.070038 |
| 2019 | 6647.74 | 3.95 | 0.188447 |
| 2020 | 6574.33 | 2.82 | -0.010619 |
|
Average Std.dev |
3.86% 10.56% |
| Year | Risk free rate (%) | Return_risk-free asset |
| 2011 | 4.51 | - |
| 2012 | 3.11 | -0.309484 |
| 2013 | 2.61 | -0.163052 |
| 2014 | 2.75 | 0.055662 |
| 2015 | 2.34 | -0.150000 |
| 2016 | 1.78 | -0.238503 |
| 2017 | 1.77 | -0.005618 |
| 2018 | 2.02 | 0.141243 |
| 2019 | 0.90 | -0.554455 |
| 2020 | 0.02 | -0.977778 |
| Average | 2.18 | -24.47% |
Calculate: Assuming E(Rc) = 7%, use E(Rc) = Rf + y* (E(Rp) - Rf)
1. % of Risky Assets:
2. % of Risk Free Assets:
3. Standard Deviation of the portfolio
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