Let’s again use the Portfolio Visualizer website (https://www.portfoliovisualizer.com/) we discussed

Let’s again use the Portfolio Visualizer website (https://www.portfoliovisualizer.com/) we discussed in class. This time we are going to use it to look at historical estimates of the CAPM for a variety of assets. On the main page of the website, click on the “Factor Regression” link. a) Let’s first estimate the CAPM for a Vanguard index fund that is designed to try to emulate the returns of the entire U.S. stock market. It is a mutual fund known as the Vanguard Total Stock Market Index Fund (investor shares). Its ticker symbol is VTSMX. On the webpage you are on, put this ticker symbol in the window labeled “Tickers”. In the window labeled “Equity Factor Model”, choose CAPM. Click on the “Factor Analysis” button. This will give you the results of the CAPM regression. What is the a and the ß of this mutual fund (described on Portfolio Visualizer as “Loadings”)? If the fund perfectly tracked the return of the U.S. market what would be its a and ß?

Expert's Answer

Need Urgent Academic Assistance?

Get Professional Help at Low Prices!

*
*
*


*

TOP
Order Notification

[variable_1] from [variable_2] has just ordered [variable_3] Assignment [amount] minutes ago.