I am new to quantitative finance so, please excuse me if the terms are not correct.
I am trying to apply CAPM on a portfolio which has multiple indices (S&P 500, Russel 1000 and S&P Financials).
The portfolio looks something like this : Stated market exposure ---> large cap, small cap, financials.
How do I go ahead with this? Do I :
- Average the indices and then work with it's $\beta$ and $\alpha$ ?
- Run a simple Multiple Regession and report it's $\beta$ and corresponding t stats ?
Help will be very much appreciated.
Thank you in advance.