One generally doesn't. The CAPM and by extension the Fama French (FF) model are used to analyse stocks. Of course, you can use these models on the underlying of futures or options if these happen to be stocks but they aren't used directly and such an analysis of the derivatives would be incomplete if you just look at the outcomes of your CAPM or FF model.


Tricky right? The reason is that when dealing with stocks or options or any sort of spot market asset, there is an original cash settlement. For instance: You have an account with $4000 and you buy AMZN for 3500. 3500 leaves your account and 1 share of AMZN comes in. Your account is now 500 + 1 share AMZN. AMZN price goes to 4000. Your account is now worth ...


Both original datasets are not normalized to Q4 2007; Wilshire 5000 Total Market Full Cap Index WILL5000INDFC and GDP. However, Total Market Full Cap would imply a value far above 214. On a side remark, there are a bunch of Wilshire indices. It is simply done to make it comparable and once you have the same units, the ratio will always result in the same ...


Thank you Dimitri, that is indeed who I was thinking of! Kudos for closing this search off so quickly.

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