Why is it the Risk Free rate? I understand that we the market neutral fund has 0 Beta and 0 systematic risk. But why are then using the risk free as the bench?
CAPM = Rf + B(Equity Risk Premium))
Set b = 0
CAPM = Rf
Bingo
Why is it the Risk Free rate? I understand that we the market neutral fund has 0 Beta and 0 systematic risk. But why are then using the risk free as the bench?
CAPM = Rf + B(Equity Risk Premium))
Set b = 0
CAPM = Rf
Bingo