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DescriptionCAPM-SML.svg | 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. |
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()
Date/Time | Thumbnail | Dimensions | User | Comment | |
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current | 14:08, 8 November 2006 | ![]() | 723 × 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 |
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