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Portfolio Expected Return and Capital Asset Pricing Models (PowerPoint PPT)
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BENEFITS OF DOCUMENT
- Provides of Capital Asset Pricing Model (CAPM) Frameworks
- Provides of Fama-French 3-factor model
- Provides of Capital Market Line (CML) and the Arbitrage Pricing Theory (APT)
DESCRIPTION
This product (Portfolio Expected Return and Capital Asset Pricing Models) is a 46-slide PPT PowerPoint presentation (PPT), which you can download immediately upon purchase.
Portfolio Expected Return and Capital Asset Pricing Models (CAPM)
Lecture Outline
1. Portfolio Theory
2. Capital Asset Pricing Model (CAPM)
3. Efficient frontier
4. Capital Market Line (CML)
5. Market Line (SML)
6. Beta calculation
7. Arbitrage pricing theory
8. Fama-French 3-factor model
9. Portfolio Expected Return
10. Portfolio Standard Deviation
11. Attainable Portfolios with Risk-Free Asset
12. What are the assumptions of the CAPM?
13. The CML Equation
14. The SML Equation
15. Interpreting Regression Results
16. What is the relationship between stand-alone, market, and diversifiable risk.
17. What is the difference between the CAPM and the Arbitrage Pricing Theory (APT)?
As a well-informed investor, you naturally want to know the expected return of your portfolio—its anticipated performance and the overall profit or loss it's racking up. Expected return is just that: expected. It is not guaranteed, as it is based on historical returns and used to generate expectations, but it is not a prediction.
The expected return of a portfolio will depend on the expected returns of the individual securities within the portfolio on a weighted-average basis. A well-diversified portfolio will therefore need to take into account the expected returns of several assets.
1. To calculate a portfolio's expected return, an investor needs to calculate the expected return of each of its holdings, as well as the overall weight of each holding.
2. The basic expected return formula involves multiplying each asset's weight in the portfolio by its expected return, then adding all those figures together.
3. In other words, a portfolio's expected return is the weighted average of its individual components' returns.
4. The expected return is usually based on historical data and is therefore not guaranteed.
5. The standard deviation or riskiness of a portfolio is not as straightforward of a calculation as its expected return.
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Source: Best Practices in Portfolio Management PowerPoint Slides: Portfolio Expected Return and Capital Asset Pricing Models PowerPoint (PPT) Presentation, UJ Consulting
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UJ Consulting
Untung Juanto ST. , MM. Founder of UJ Consulting. He is professionally experienced business and management consultant in several local and multinational companies.
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