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Alpha is a measure of the active return on an investment, the performance of that investment compared with a suitable market index.An alpha of 1% means the investment's return on investment over a selected period of time was 1% better than the market during that same period; a negative alpha means the investment underperformed the market.
Security characteristic line (SCL) is a regression line, [1] plotting performance of a particular security or portfolio against that of the market portfolio at every point in time. The SCL is plotted on a graph where the Y-axis is the excess return on a security over the risk-free return and the X-axis is the excess return of the market in general.
These equations show that the stock return is influenced by the market (beta), has a firm specific expected value (alpha) and firm-specific unexpected component (residual). Each stock's performance is in relation to the performance of a market index (such as the All Ordinaries). Security analysts often use the SIM for such functions as ...
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An empirical study of the French stock market for the period 1999-2019 shows that Joel Greenblatt's formula was able to beating the market by 5%-9% per year using various quality definitions. [ 11 ] A 2024 study evaluates the formula for the U.S. market from 1963 to 2022 and compares it with the performance of the Piotroski F-Score , Acquirer ...
The gain in the Nasdaq and the S&P 500 was driven by a surge in mega-cap tech stocks, with shares of Tesla, Alphabet, and Broadcom all spiking in Monday's session.