Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM) (FRM P1 2021 - B1 - Ch5)

For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: analystprep.com/shop/unlimite...
AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams
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

  • @AlexNangle
    @AlexNangle10 күн бұрын

    This is so much better than my textbook. So much better. Thank you.

  • @pedrofolque7899
    @pedrofolque78993 жыл бұрын

    16:52 - Example on Beta 24:49 - CML Example 34:06 - Sharpe Ratio Example

  • @quincyreinevergara8822
    @quincyreinevergara88227 ай бұрын

    wow the information shared here is incredible

  • @analystprep

    @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

  • @theamertens6433
    @theamertens64332 жыл бұрын

    you da bomb! thank you for the clear explanations

  • @allblackblue
    @allblackblue4 жыл бұрын

    Really great way to develop this concepts

  • @analystprep

    @analystprep

    4 жыл бұрын

    Glad you like it!

  • @alvinchow2024
    @alvinchow20243 жыл бұрын

    It’s a really helpful video

  • @manojnandasena7769
    @manojnandasena77694 жыл бұрын

    So helpful sir. Thank you so much.

  • @analystprep

    @analystprep

    4 жыл бұрын

    Most welcome!

  • @nosao2748
    @nosao27488 ай бұрын

    God Bless You!

  • @mikeamine375
    @mikeamine3753 жыл бұрын

    thank you for this wonderful video

  • @analystprep

    @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

  • @bahadurmammadov8770
    @bahadurmammadov87704 жыл бұрын

    Thanks you so much 💜

  • @analystprep

    @analystprep

    4 жыл бұрын

    You're welcome 😊

  • @raulortiz4998
    @raulortiz49984 жыл бұрын

    WOW 1 week of class resume in 50 minutes

  • @analystprep

    @analystprep

    4 жыл бұрын

    :)

  • @user-vk5xs1sb6r

    @user-vk5xs1sb6r

    3 жыл бұрын

    Q

  • @gorthorki
    @gorthorki4 жыл бұрын

    Thank you so much 😀👌

  • @analystprep

    @analystprep

    4 жыл бұрын

    You're welcome 😊

  • @ujjwalupadhyay2447
    @ujjwalupadhyay24473 жыл бұрын

    sir, why sml is only applied on individual stock and not for portfolios

  • @dhruthij7430
    @dhruthij74303 жыл бұрын

    So nicely explained sir

  • @analystprep

    @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

  • @richardyeboah3851
    @richardyeboah38514 жыл бұрын

    Thank you a lot Sir

  • @analystprep

    @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

  • @oisinmcnally5952
    @oisinmcnally59523 жыл бұрын

    Legend

  • @shubhendukumar1972
    @shubhendukumar19724 жыл бұрын

    Thanks a lot

  • @analystprep

    @analystprep

    4 жыл бұрын

    Most welcome

  • @Tyokok
    @Tyokok3 жыл бұрын

    what is the market portfolio? what's special about this tangent portfolio and we must purchase? Thanks!

  • @Aim4sixmeals
    @Aim4sixmeals4 жыл бұрын

    Thank you sir

  • @analystprep

    @analystprep

    4 жыл бұрын

    Welcome

  • @ngunitv

    @ngunitv

    3 жыл бұрын

    apply job accounting directing to hr or overral

  • @djJungleboy
    @djJungleboy4 ай бұрын

    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?)

  • @ngunitv
    @ngunitv3 жыл бұрын

    cleanmethotthankyou

  • @sayednab
    @sayednab Жыл бұрын

    isn't one standard deviation 68%?

  • @Xenublax2
    @Xenublax22 жыл бұрын

    "You forgot Jack Treynor!" - Franco Modigliani, probably.

  • @ngunitv
    @ngunitv3 жыл бұрын

    apply for accounting

  • @karpagavalliramachandran5616
    @karpagavalliramachandran56163 жыл бұрын

    Is this based on the new syllabus? Please let me k ow. Thank you!

  • @analystprep

    @analystprep

    3 жыл бұрын

    Hi. Yes, these are the learning objectives from the new syllabus.

  • @alexs934
    @alexs9343 жыл бұрын

    15:33 σ^2m is variance not σm

  • @nasratwaha610
    @nasratwaha6103 жыл бұрын

    What are the differences between portfolio theory and CAPM?

  • @analystprep

    @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

    @abbaabba8978

    3 жыл бұрын

    @@analystprep yes thks