Jump to content

File:CAPM-SML.svg

Page contents not supported in other languages.
This is a file from the Wikimedia Commons
From Wikibooks, open books for an open world

Original file (SVG file, nominally 723 × 578 pixels, file size: 11 KB)

Description dow jones index and it's 30 stocks: the CAPM and the security market line (purple). the grey line is the linear model. mean yield is assumed to be 2.9%
Date
Source data by quote.yahoo, atomatically retrieved with GNU R, see graph source below
Author Thomas Steiner
Permission
(Reusing this file)
Thomas Steiner put it under the CC-by-SA 2.5.
w:en:Creative Commons
attribution share alike
This file is licensed under the Creative Commons Attribution-Share Alike 2.5 Generic license.
You are free:
  • to share – to copy, distribute and transmit the work
  • to remix – to adapt the work
Under the following conditions:
  • attribution – You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.
  • share alike – If you remix, transform, or build upon the material, you must distribute your contributions under the same or compatible license as the original.

R source:

library(tseries)
library(RSvgDevice)

quote<-function(inst, nDs) {
  if(!inherits(try(open(url("http://quote.yahoo.com")), silent = TRUE), "try-error")) {
    start <- strftime(as.POSIXlt(Sys.time() - nDs*24*3600), format="%Y-%m-%d") 
    end <- strftime(as.POSIXlt(Sys.time()), format = "%Y-%m-%d") 
    x <- get.hist.quote(instrument=inst, start=start, end=end, quote = c("AdjClose"), compression="m",  quiet=T, retclass="zoo")
  }
  return(x)
}

yield=2.9
nDays=1042
comp<-c("^DJI", "AA", "AIG", "AXP", "BA", "C", "CAT", "DD", "DIS", "GE", "GM", "HD", "HON", "HPQ", "IBM", "INTC", "JNJ", "JPM", "KO", "MCD", "MMM", "MO", "MRK", "MSFT", "PFE", "PG", "T", "UTX", "VZ", "WMT", "XOM")

comp.quote<-quote(comp[1],nDays)
from= as.Date(index(comp.quote[1,1]),format="%Y-%m-%d")
to=   as.Date(index(comp.quote[length(comp.quote[,1]),1]),format="%Y-%m-%d")

for (c in 2:length(comp)) {
  comp.quote<-merge(comp.quote,quote(comp[c],nDays))
}

rdt<-12*diff(comp.quote)/comp.quote*100

points=array(NA,dim=c(length(comp),2))
for (p in 1:length(comp)) {
  points[p,1]= cov(rdt[,1],rdt[,p])/var(rdt[,1])
  points[p,2]=mean(rdt[,p])
}

devSVG(file="CAPM-SML.svg", width=10, height=8, bg="transparent", fg="black", onefile=TRUE, xmlHeader=TRUE)

par(lwd=2)
plot(points[2:length(comp),],type="p",col="blue",xlab="beta",ylab="return (in % p.a.)",main="CAPM: Security Market Line",xlim=range(0,points[,1]))
lines(points[1,1],points[1,2],col="red",type="p")
abline(a=yield,b=points[1,2]-yield,col="purple")
text(points[2:length(comp),1],points[2:length(comp),2],comp,pos=3,col="blue")
text(points[1,1],             points[1,2],           comp[1],pos=3,col="red")

lm1<-lm(points[,2]~points[,1])
abline(lm1,col="darkgrey",lwd=1)
 
text(x=par("usr")[2], y=par("usr")[3]+0.5, labels=paste("Dow Jones monthly data from", format.Date(from,"%d %b %Y"), "to", format.Date(to,"%d %b %Y"),""), col="grey",adj=c(1,0) )
grid(lwd=1)

dev.off()
 
This W3C-unspecified chart was created with R.

Captions

Add a one-line explanation of what this file represents

Items portrayed in this file

depicts

8 November 2006

image/svg+xml

d8332e6c26cf2fa1d2b0308dcca9328b675998bb

11,475 byte

578 pixel

723 pixel

File history

Click on a date/time to view the file as it appeared at that time.

Date/TimeThumbnailDimensionsUserComment
current14:08, 8 November 2006Thumbnail for version as of 14:08, 8 November 2006723 × 578 (11 KB)Thire{{Information| |Description = dow jones index and it's 30 stocks: the CAPM and the security market line (purple). the grey line is the linear model. mean yield is assumed to be 2.9% |Source = data by quote.yahoo, atomatically retrieved with GNU R, see gra

Global file usage

The following other wikis use this file:

Metadata