Question
Portfolio A returned 9.20% p.a over the evaluation period compared to a 5.00% p.a for the S&P 500. This equates to a difference or outperformance
Portfolio A returned 9.20% p.a over the evaluation period compared to a 5.00% p.a for the S&P 500. This equates to a difference or outperformance of 4.20% p.a. According to CAPM, the annualized alpha of portfolio A is 4.74% p.a. Explain the difference between the two numbers. (Note it is not due to rounding)
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Valuation Measuring and managing the values of companies
Authors: Mckinsey, Tim Koller, Marc Goedhart, David Wessel
5th edition
978-0470424650, 9780470889930, 470424656, 470889934, 978-047042470
