The yearly returns of a stock (in excess of the risk-free rate), are +1.8%, -0.6%, -0.3%. During that same period, the market portfolio has excess returns of +0.7%, +0.4%, and +0.8%.

stock A Market excess ret.

year1 1.80% 0.70%

year2 -0.60% 0.40%

year3 -0.30% 0.80%

In theory, what should be the stock's CAPM alpha with respect to the market?

2. Same data as previous question. In practice, what is the stock's CAPM alpha with respect to the market?

3. Same data as previous question. In practice, what is the stock's CAPM beta with respect to the market?

4. The yearly returns of Fund A (in excess of the risk-free rate), are 5.00%, 6.32%, -5.20%. The yearly returns of Fund B (in excess of the risk-free rate), are 0.00%, 1.32%, -10.20%.

During that same period, the market portfolio has excess returns of 5.00%, 7.20%, -12.00%.

Fund A excess Fund B excess Market excess

year 1 5.00% 0.00% 5.00%

year 2 6.32% 1.32% 7.20%

year 3 -5.20% -10.20% -12.00%

Fund A excess return Fund B excess return Market excess return Year 1 5.00% 0.00% 5.00% Year 2 6.32% 1.32% 7.20% Year 3 -5.20% -10.20% -12.00%

The risk-free rate is 3% per year. What is Fund A's alpha?

5. Same data as Question 5. What is Fund B's beta?

6. what would be the market beta of your portfolio?