Market Return in CAPM

In CAPM, you must include all market investments to calculate the market return. Therefore, you must not only use 恆指 i.e. HSI, but also bonds, flats, options, some other non-constituents HSI stocks ................. You can find out the efficient portfolio froniter by adjusting the different weightings of the listed investments. Then by plotting the tangent of the froniter with the risk free rate of return on the y-axis, you can find the market portfolio return.