Applying CAPM in real Life

CFA General
#1

I would like to know if there is a website that provide an updated market premium, or risk free rate to calculate CAPM. Or do we have to caculate ourselves by projecting the expected return on S&P for example, and annualized the t-bill rate. Thanks in Advance

#2

Use whatever you want.

#3

that does not tell me anything

#4

I believe bloomberg terminals attach a MRP if you look at a stock, can anyone confirm this? I also do not know what it is based on…but it is something. RFR you can select whatever you want (as Rydex said), 10yr note for instance…

#5

Here’s my real life application: It’s 5 minutes to lunch, and I have to decide what to eat. If Y = my lunch, b is acceptance of the fact that it’ll be putrid and barely resemble actual food, and m is how much I’ve “earned” a crappy meal through exercise, let’s figure this one out… I did a 30 min run on saturday, but ate like shyte on sunday, so there’s a net-zero. Let’s just set my beta at one. Using X as my willingness to walk more than 50 metres to another food court, let’s just say I’m not. So: Y = mx + b Lunch = (1*not willing to walk) + (crappy food) => Lunch = crappy food. I will dine on a Tim Horton’s ham sandwich.

#6

thanks for reminding me it is lunchtime…this day is actually moving. I am gonna go salad with a huge brownie or something for desert, that is a net zero application.

#7

It’s the Calgary Stampede here, so by the time I’ve eaten 15 bags of mini-donuts, 7 corndogs, 3 buckets of “fried coca-cola,” 8 litres of Budweiser (3 litres Cdn beer equivalent), and 42 pancakes (roughly the equivalent of a South Carolinian’s lunch) it’ll be a long time before I can net zero again.

#8

Thanks TVpm. Anyone would like to answer my question besides these senseless jokes. Thank you

#9

Hey ssdnola What to use for the risk free rate depends to a certain extent on the level of info available on the market you’re in, as well as how much the client is willing to pay for the calculation. Yes shock horror, I know, but the truth is if you’re charging by the hour…. So here in SA the standard approach used by everyone and their friend is to take the R157 government bond’s yield as a proxy. It actually works out pretty well, but then again maybe that’s just because everyone is using it. As for a market premium, those are usually found in some over calculated academic paper that no one ever reads, or your left thumb.

#10

Ticker + Equity + EQRP in bloomberg if you have one

#11

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#12

See CFA pubs by Bernstein and Siegel.

#13

thank you very much guys for your help

#14

Rydex Wrote: ------------------------------------------------------- > Use whatever you want. Lol…also don’t use what you don’t want.