释义 |
Single-index model
Single-index modelA model of stock returns that decomposes influences on returns into a systematic factor, as measured by the return on the broad market index, and firm specific factors. Related: Market ModelSingle-Index ModelThe relationship between a security's performance and the performance of a portfolio containing it. The market model states that the security's performance is related to its portfolio's performance, according to its beta. It is calculated as follows:
Return on security = alpha + beta * return on portfolio + residual return |