Concept

Security characteristic line

Security characteristic line (SCL) is a regression line, plotting performance of a particular security or portfolio against that of the market portfolio at every point in time. The SCL is plotted on a graph where the Y-axis is the excess return on a security over the risk-free return and the X-axis is the excess return of the market in general. The slope of the SCL is the security's beta, and the intercept is its alpha.

Source officielle

https://en.wikipedia.org/wiki/Security_characteristic_line

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Concepts associés (4)

Capital allocation line

Capital allocation line (CAL) is a graph created by investors to measure the risk of risky and risk-free assets. The graph displays the return to be made by taking on a certain level of risk. Its slope is known as the "reward-to-variability ratio". The capital allocation line is a straight line that has the following equation: In this formula P is the risky portfolio, F is riskless portfolio, and C is a combination of portfolios P and F. The slope of the capital allocation line is equal to the incremental return of the portfolio to the incremental increase of risk.

Capital market line

Capital market line (CML) is the tangent line drawn from the point of the risk-free asset to the feasible region for risky assets. The tangency point M represents the market portfolio, so named since all rational investors (minimum variance criterion) should hold their risky assets in the same proportions as their weights in the market portfolio. The CML results from the combination of the market portfolio and the risk-free asset (the point L).

Security market line

Security market line (SML) is the representation of the capital asset pricing model. It displays the expected rate of return of an individual security as a function of systematic, non-diversifiable risk. The risk of an individual risky security reflects the volatility of the return from security rather than the return of the market portfolio. The risk in these individual risky securities reflects the systematic risk. The Y-intercept of the SML is equal to the risk-free interest rate.

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Source officielle

https://en.wikipedia.org/wiki/Security_characteristic_line

À propos de ce résultat

Cours associés (4)

FIN-405: Investments

The course covers a wide range of topics in investment analysis ...

MGT-301: Foundations in financial economics

MGT-482: Principles of finance

Afficher plus

Séances de cours associées (14)

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Explore le CAPM, les primes de risque, les portefeuilles efficaces et l'efficacité du marché.

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Se penche sur le modèle de tarification des immobilisations, le portefeuille de marché, la ligne de marché de la sécurité, lestimation des bêtas et le risque de liquidité.

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Explore le modèle de tarification des immobilisations, couvrant le compromis risque-rendement, la LMS, lestimation bêta et les applications dans la finance.

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Concepts associés (4)

Capital allocation line

Capital market line

Security market line

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