Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM) (FRM P1 2021 - B1 - Ch5)
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After completing this reading you should be able to:
- Explain modern portfolio theory and interpret the Markowitz efficient frontier.
- Understand the derivation and components of the CAPM.
- Describe the assumptions underlying the CAPM.
- Interpret the capital market line.
- Apply the CAPM in calculating the expected return on an asset.
- Interpret beta and calculate the beta of a single asset or portfolio.
- Calculate, compare and interpret the following performance measures: the Sharpe performance index, the Treynor performance index, the Jensen performance index, the tracking error, information ratio and
Sortino ratio.
0:00 Introduction
0:15 Learning Objectives
0:55 Assumptions Underlying the CAPM
9:21 Interpreting Beta
16:53 Example on Beta
19:57 Derivation of CAPM
21:39 The Capital Market Line
28:53 The Treynor Measure: Analogy
32:41 The Sharpe Measure
35:08 The Jensen Measure
44:54 The Tracking-Error: Example
46:09 The Information Ratio
48:19 The Sortino Ratio
Пікірлер: 45
This is so much better than my textbook. So much better. Thank you.
16:52 - Example on Beta 24:49 - CML Example 34:06 - Sharpe Ratio Example
wow the information shared here is incredible
@analystprep
6 ай бұрын
You're welcome. If you like our video lessons, it would be appreciated if you could leave us a review at www.trustpilot.com/review/analystprep.com
you da bomb! thank you for the clear explanations
Really great way to develop this concepts
@analystprep
4 жыл бұрын
Glad you like it!
It’s a really helpful video
So helpful sir. Thank you so much.
@analystprep
4 жыл бұрын
Most welcome!
God Bless You!
thank you for this wonderful video
@analystprep
2 жыл бұрын
Glad it was helpful! If you like our video lessons, it would be helpful if you could take 2 minutes of your time to leave us a review here: www.trustpilot.com/review/analystprep.com
Thanks you so much 💜
@analystprep
4 жыл бұрын
You're welcome 😊
WOW 1 week of class resume in 50 minutes
@analystprep
4 жыл бұрын
:)
@user-vk5xs1sb6r
3 жыл бұрын
Q
Thank you so much 😀👌
@analystprep
4 жыл бұрын
You're welcome 😊
sir, why sml is only applied on individual stock and not for portfolios
So nicely explained sir
@analystprep
3 жыл бұрын
Thanks for liking! If you like our video lessons, it would be helpful to spread the word if you could take 2 minutes of your time to leave us a review at www.trustpilot.com/review/analystprep.com
Thank you a lot Sir
@analystprep
4 жыл бұрын
Most welcome! If you like our video lessons, it would be helpful to spread the word if you could take 2 minutes of your time to leave us a review at www.trustpilot.com/review/analystprep.com
Legend
Thanks a lot
@analystprep
4 жыл бұрын
Most welcome
what is the market portfolio? what's special about this tangent portfolio and we must purchase? Thanks!
Thank you sir
@analystprep
4 жыл бұрын
Welcome
@ngunitv
3 жыл бұрын
apply job accounting directing to hr or overral
The sample size for S &P is 500 I assume, but what number and what is being measured for standard deviation of security ( x number of years of return?)
cleanmethotthankyou
isn't one standard deviation 68%?
"You forgot Jack Treynor!" - Franco Modigliani, probably.
apply for accounting
Is this based on the new syllabus? Please let me k ow. Thank you!
@analystprep
3 жыл бұрын
Hi. Yes, these are the learning objectives from the new syllabus.
15:33 σ^2m is variance not σm
What are the differences between portfolio theory and CAPM?
@analystprep
3 жыл бұрын
Hi Nasra. "CAPM simultaneously simplified Markowitz's Modern Portfolio Theory (MPT), made it more practical and introduced the idea of specific and systematic risk. Whereas MPT has arbitrary correlation between all investments, CAPM, in its basic form, only links investments via the market as a whole." Source: ebrary.net/7079/business_finance/what_modern_portfolio_theory/ I hope this helps!
@abbaabba8978
3 жыл бұрын
@@analystprep yes thks