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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.
α i is called the asset's alpha (abnormal return) β i (R M,t – R f) is a nondiversifiable or systematic risk ε i,t is the non-systematic or diversifiable, non-market or idiosyncratic risk R M,t is the return to market portfolio R f is a risk-free rate
A positive Jensen's alpha indicates that managers of the fund, through careful stock selection, have been able to extract higher returns than the market. 4 Funds With High Alpha You Should Grab ...
A positive Jensen's alpha indicates that managers of the fund have been able to extract higher returns than the market.
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 ...
A positive Jensen's alpha indicates that managers of the fund have been able to extract higher returns than the market. 4 High Alpha Mutual Funds That You Must Add to Your Portfolio Skip to main ...