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SophieZ · 2023年09月01日

βi = Cov (Ri,RM)/Var(RM)

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000069

问题如下：

The United States-based CME Foundation has asked Pauline Cortez, chief investment officer, to analyze the benefit of adding U.S. real estate equities as a permanent asset class. To determine the appropriate risk premium and expected return for this new asset class, Cortez needs to determine the appropriate risk factor to apply to the international capital asset pricing model (ICAPM). Selected data from GloboStats is shown in Exhibit 1.

Using the data provided in Exhibit 1 and assuming perfect markets, the calculated beta for U.S. real estate is closest to:

选项：

A.1.08. B.0.58 C.0.38

解释：

Correct Answer: B

βi = Cov (Ri,RM)/Var(RM)

Note that covariance is given as 0.0075.

Find Var(RM) by using the Sharpe ratio = RPM/σM and solve for σM

Expected return - Risk-free rate = RPM

7.2% - 3.1% = 4.1% (or 0.041)

σM = 0.041/0.36 = 0.1139

Var(RM) = (0.1139)2 = 0.0130

βi = 0.0075/0.0130 = 0.58

中文解析：

βi = Cov (Ri,RM)/Var(RM)

注意，协方差为0.0075。

用夏普比率= RPM/σM求Var(RM)，求解σM

预期收益-无风险利率= RPM

7.2% - 3.1% = 4.1%(或0.041)

σm = 0.041/0.36 = 0.1139

Var(RM) = (0.1139)2 = 0.0130

βi = 0.0075/0.0130 = 0.58

βi = Cov (Ri,RM)/Var(RM)这个公式 是在教材哪里讲过？

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1 个答案

笛子_品职助教 · 2023年09月03日

嗨，从没放弃的小努力你好：


βi = Cov (Ri,RM)/Var(RM)这个公式 是在教材哪里讲过？

Beta的计算公式在equity科目的教材正文里没有讲过。习题有出现。

此公式在一级二级的学习过，因此习题里默认已经掌握了这个知识点。

同学就借助这道题，补充记忆一下Beta的计算公式。

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努力的时光都是限量版，加油！

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NO.PZ2022122601000069 问题如下 The UniteStates-baseCME Fountion haskePauline Cortez,chief investment officer, to analyze the benefit of aing U.S. reestateequities a permanent asset class. To termine the appropriate risk premiumanexpectereturn for this new asset class, Cortez nee to termine theappropriate risk factor to apply to the internationcapitasset pricingmol (ICAPM). Selecteta from GloboStats is shown in Exhibit 1.Using the taproviin Exhibit 1 anassuming perfemarkets, the calculatebeta forU.S. reestate is closest to: A.1.08. B.0.58 C.0.38 CorreAnswer: Bβi = Cov (Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharperatio = RPM/σM ansolve for σMExpectereturn -Risk-free rate = RPM7.2% - 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 =0.0130βi = 0.0075/0.0130 = 0.58 中文解析βi = Cov (Ri,RM)/Var(RM)注意，协方差为0.0075。用夏普比率= RPM/σM求Var(RM)，求解σM预期收益-无风险利率= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58 这道题看了答案能理解但是有一个疑问这道题知道要用market的variance，但是题目说了是perfectly integrate 这种时候market sigma还是不等于integratemarket sigma吗？

2024-07-25 19:54 1 · 回答

NO.PZ2022122601000069问题如下 The UniteStates-baseCME Fountion haskePauline Cortez,chief investment officer, to analyze the benefit of aing U.S. reestateequities a permanent asset class. To termine the appropriate risk premiumanexpectereturn for this new asset class, Cortez nee to termine theappropriate risk factor to apply to the internationcapitasset pricingmol (ICAPM). Selecteta from GloboStats is shown in Exhibit 1.Using the taproviin Exhibit 1 anassuming perfemarkets, the calculatebeta forU.S. reestate is closest to: A.1.08.B.0.58C.0.38 CorreAnswer: Bβi = Cov (Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharperatio = RPM/σM ansolve for σMExpectereturn -Risk-free rate = RPM7.2% - 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 =0.0130βi = 0.0075/0.0130 = 0.58 中文解析βi = Cov (Ri,RM)/Var(RM)注意，协方差为0.0075。用夏普比率= RPM/σM求Var(RM)，求解σM预期收益-无风险利率= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58 如题，求出的beta数字不对

2023-11-21 11:19 1 · 回答