Abstract
The CAPM is one of the most famous theories of finance. It was developed by William Sharpe in 1964 with the help of others known researchers. This theory is based on the relationship between risk and return and permits us to calculate an expected return of an investment with few variables. Several tests have been run on the CAPM in order to validate or invalidate the formulae. Through the years, several difference conclusions were found and others factors have been added to the formula in order to be as accurate as possible. However, the CAPM still has arguments both for and against itself. This research has been run for a little investor, who only wants to invest in a small portfolio and for a short period of time. The aim of the study is to see if the CAPM is relevant for this type of investment. After the regression has been made to calculate the Beta and the Alpha, needed to calculate the expected return with the Single Index Model, the applied version of CAPM, the results were not so far away from the annual return. This proves that the CAPM can be a good tool to evaluate the future return of an investment, but it is necessary to use it with cautions.
