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Homework Ad 717 Completed

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Accounting
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Boston University
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CAPM model : Ra = Rrf + Ba x (Rm - Rrf) Assumption: The United States Treasury Bonds are known as risk-free because they always pay. For this analysis, a 5-year bond will be considered with an annual rate of 1.72%. Risk-free rate (Rrf) Market risk premium (Rm - Rrf) 1,72% 5% CAPM formula : R = Rrf + Ba x (Rm - Rrf) + Alpha Alpha = R - Rrf - Ba x (Rm - Rrf) Risky Portfolio: SD of Excess Return S&P 500 $AAPL $AMZN $ISRG $TGT $WMT $XOM AVERAGE Rounded off to three decimal places: Weight of the overall portfolio Aggregate Alpha 0,1701 0,2869 0,3554 0,34 0,2761 0,2296 0,2163 0,267771429 0.014 or 1.4% 1,079 Sharpe ratio of the market portfolio Sharpe ratio of the overall portfolio 0,258 0,257 Covariance Matrix of the Index Model 1 1,2 1,6 1,5 0,8 0,6 0,85 1,07857143 0,1701 0,2041 0,2721 0,2551 0,1361 0,102 0,1446 0,183442857 0,6 Aggregate Beta Sharpe ratio of an investment in the market is slightly above the sharpe ratio of the overall portfolio by 0.001 which shows a slight deviation in the investment's excess returns Beta (Ba) SD of Systematic Component Alpha of the 0.014 or 1.4% mkt port. Beta of the mkt port. 1,092 0,256915984 SD of Excess Return SD of Excess Return ...
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