Expected return E(Ri) = Rf + Bi (Rm - Rf) =[5+0.936265(1.031112-5)] =1.284069
Fema Measures Selectivity =Ri –[ Rf + Bi (Rm - Rf) ]
=0.752867- [5+0.936265(1.031112-5)]
=
-0.39357
Diversification =[Rf + (Rm - Rf)(αi/ αm)]-[Rf + Bi (Rm - Rf) ] =[5+(1.031112-5)( 2.545136/11.13139)]- [5+0.936265(1.031112-5)] =2.808464 Net selectivity= selectivity- diversification =-0.39357-2.808464 =-3.33967