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    Stock Market Level, 2000-2016, 2000 100

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    Guramios
    This document contains information about the stock performance of Apple and the S&P 500 from 2000-2016 including price levels over time, returns, variance in returns, their correlation, and concepts from the Capital Asset Pricing Model (CAPM) such as beta and the partitioning of total risk into systematic and idiosyncratic components. It shows that Apple had much higher and more volatile returns than the S&P 500 over this period.

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    Stock Market Level, 2000-2016, 2000 100

    Uploaded by

    Guramios
    42 views8 pages
    This document contains information about the stock performance of Apple and the S&P 500 from 2000-2016 including price levels over time, returns, variance in returns, their correlation, and concepts from the Capital Asset Pricing Model (CAPM) such as beta and the partitioning of total risk into systematic and idiosyncratic components. It shows that Apple had much higher and more volatile returns than the S&P 500 over this period.

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    Course

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    This document contains information about the stock performance of Apple and the S&P 500 from 2000-2016 including price levels over time, returns, variance in returns, their correlation, and concepts from the Capital Asset Pricing Model (CAPM) such as beta and the partitioning of total risk into systematic and idiosyncratic components. It shows that Apple had much higher and more volatile returns than the S&P 500 over this period.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    42 views8 pages

    Stock Market Level, 2000-2016, 2000 100

    Uploaded by

    Guramios
    This document contains information about the stock performance of Apple and the S&P 500 from 2000-2016 including price levels over time, returns, variance in returns, their correlation, and concepts from the Capital Asset Pricing Model (CAPM) such as beta and the partitioning of total risk into systematic and idiosyncratic components. It shows that Apple had much higher and more volatile returns than the S&P 500 over this period.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 8

    Stock Market Level, 2000-2016, 2000=100

    Apple, Inc. and S&P 500 Monthly Adjusted Price


    2000-2016, 2000=100
    Apple, Inc. and S&P 500 Monthly Returns, 2000-2016
    Variance of Apple vs Variance of S&P500
    • Standard deviation of Apple capital gain in decade shown is
    12.8% a month (not annualized) (arithmetic mean 3.47% a
    month, geometric mean 2.65% a month)
    • 1.0347^123=65, 1.0265^123=25
    • Standard deviation of S&P 500 return in decade shown is 4.7%
    (arithmetic mean capital gain mean 0.01%, geometric mean -
    0.16% a month, meaning we’ve lost money)
    Scatter, Apple vs S&P 500 Returns Monthly
    Feb 2000-Jan 2016
    Same Scatter with Regression Line
    Beta
    • The CAPM implies that the expected return on the ith asset
    is determined from its beta
    • Beta (βi) is the regression slope coefficient when the return
    on the ith asset is regressed on the return on the market
    • Fundamental equation of the CAPM:

    ri = rf + b i (rm - rf )
    Market Risk versus Idiosyncratic Risk
    • By construction, the residuals of error terms in a regression
    are uncorrelated with the fitted or predicted value
    • So, the variance of the return of a stock is equal to its beta
    squared times the variance of the market return (systematic
    risk) plus the variance of the residual in the regression
    (idiosyncratic risk)

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