Investors define the expected return as the probable return for a portfolio based on past returns or as the expected value of the portfolio derived from a probability distribution of probable returns. In the short term, the expected return represents a random variable that takes different values ba...
Where Eris the portfolio expected return, w1is the weight of first asset in the portfolio, R1is the expected return on the first asset, w2is the weight of second asset and R2is the expected return on the second asset and so on.
If it is positive, the fund/portfolio "beats" the expected return and we would assume, that the fund manager has some skill (if the αi,tαi,t is significantly different from zero over a longer period of time). Jensen's alpha and the CAPM together Well, to calculate Jensen's alpha,...
The additional return an investor receives for holding a risky market portfolio instead of risk-free assets is termed as a market risk premium. Analysts and investors use theCapital Asset Pricing Model(CAPM) to calculate the acceptable rate of return. The market risk premium is an essential part...
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The so-called continuing claims data covered the period during which the government surveyed households for July's unemployment rate. Continuing claims were little changed between the June and July survey weeks. The unemployment rate rose to a 2-1/2-year high of 4.1% in June as jobs become ...