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
Overview
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.
Formula
S C L
:
R
i , t
−
R
f
=
α
i
+
β
i
(
R
M , t
−
R
f
) +
See also
Security market line Capital allocation line Capital market line Modern portfolio theory
External links
Security characteristic line calculator CAPM and the Characteristic Line Chapter 7 CAPM {link doesn't work} Chapter 13 {link doesn't work}
Wikipedia contributors · Security characteristic line · revision 1279406933 · CC BY-SA 4.0 · Plain text extracted and formatting adapted; tags derived from linked topics.