Returns the Capital Asset Pricing Model (CAPM) beta.
NxCAPM($R^i$, $R^b$, $R_f$, Freq)
- is the portfolio simple rate of returns data series (a one-dimensional array of cells (e.g., rows or columns)).
- is the index/benchmark simple returns data (a one-dimensional array of cells (e.g., rows or columns)).
- is the risk-free simple returns data (a single value or a one-dimensional array of cells (e.g., rows or columns)). If missing, a zero(0) risk-free return is assumed.
- is the data sampling frequency per year (i.e., number of data points in one year) (e.g., 12 = monthly, 4 = quarterly, etc.). If missing, a monthly frequency is assumed.
The NxCAPM function is available starting with NumXL version 1.68 CAMEL.
- The Capital Asset Pricing Model (CAPM) describes the relationship between systematic risk and expected return for assets.
- Per the CAPM, the formula for calculating the expected return of an asset is:
$$E[R^i] = R_f + \beta \times (E[R^b] - R_f)$$
- $E[R^i]$ is the expected return of investment.
- $R_f$ is the risk-free rate of return.
- $E[R^b]$ is the expected return on the overall market.
- $\beta$ is the CAPM beta of the investment.
- The beta measures how much risk the investment will add to a portfolio that looks like the market.
- The sample data ($R^i$, $R^b$ or $R_f$) may include missing values.
- The number of rows of the response variable ($R^i$) must equal the number of rows of the explanatory variable ($R^b$ or $R_f$).
- Observations (i.e., rows) with missing values in X or Y are removed.
- If the risk-free rate of return ($R_f$) argument contains one value, it is assumed the value is the risk-free annual rate of return.
|=NxCAPM(\$B\$2:\$B\$14,\$C\$2:\$C\$14,\$D\$2:\$D\$14)||CAPM Beta (1.098847)|