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Downside CAPM

Downside CAPM

We have devoted a lot of blog space in the past examining the pros and cons of the Capital Asset Pricing Model (CAPM). The model predicts the amount of excess return (return above the risk-free rate) of an arbitrary portfolio that can be ascribed to a relationship (called beta[1]) to the excess returns on the underlying market portfolio.

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Copyright 2011 Eric Bank, Freelance Writer
Capital Asset Pricing Model, Part Four – The Equations

Capital Asset Pricing Model, Part Four – The Equations

In the first three installments, we looked closely at the assumptions that underlie the Capital Asset Pricing Model (CAPM), as part of our overall project of investigating the role of alpha in hedge fund performance. Today we will review the basic CAPM equations.

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Copyright 2011 Eric Bank, Freelance Writer