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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
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 ...
A positive Jensen's alpha indicates that managers of the fund have been able to extract higher returns than the market.
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 ...
Jensen's alpha is a statistic that is commonly used in empirical finance to assess the marginal return associated with unit exposure to a given strategy. Generalizing the above definition to the multifactor setting, Jensen's alpha is a measure of the marginal return associated with an additional strategy that is not explained by existing factors.
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