在这个以后人们意识到以前他们认为的alpha其中很大一部分是非传统的beta，比如在国内私募市场，投资者也逐...
我们常见的公募基金，即共同基金(Mutual Fund)，除了指数基金以外有许多是主动型的，基金经理试图获得更...
Alpha measures risk premiums in terms ofbeta(β); therefore, it is assumed that the portfolio being evaluated iswell diversified. The Jensen index requires using a differentrisk-free ratefor each time interval measured during the specified period. For instance, if you are measuring the fund manag...
The mathematical estimate of the return on a security when the market return as a whole is zero. Alpha is derived fromain the formula Ri=a+bRmwhich measures the return on a security (Ri) for a given return on the market (Rm) wherebis beta. See alsocapital-asset pricing model,characteris...
manager earned more than enough return to be compensated for the risk taken over the year. If the mutual fund only returned 13%, the calculated alpha would be -0.8%. With a negative alpha, the mutual fund manager would not have earned enough return given the amount of risk they were ...
Alpha works best, first of all, when applied to strictly stock market investments (rather than to investments in other asset classes), and secondly, if used as a fund comparison tool, then it is best applied to evaluating similar funds – for example, two mid-cap growth mutual funds, rathe...
For instance, let’s say a mutual fund returned 8% over one year, while the S&P 500 returned 6%. Since the annual return for the mutual fund was greater than that of the S&P 500, the fund has an alpha of 2% (8% – 6%). On the flip side, if the S&P 500 had a return greate...
and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it ...
Livermore, Jesse L. 1940.How to Trade in Stocks: The Livermore Formula for Combining Time Element and Price. Laurus-Lexecon Kft. Murnane, Gerald. 2015.Something for the Pain: A Memoir of the Turf. Text Publishing. Taleb, Nassim Nicholas. 2007.The Black Swan: The Impact of the Highly Impr...
This entry was posted inHedge Funds,Mutual Funds,Skilland taggedactive return,security selection,skill,αReturnonMarch 15, 2017. Hedge Fund Crowding Update – Q4 2016 A typical analysis of hedge fund crowding surveys popular equity holdings. Yet, suchresidual,idiosyncratic, or stock-specific bets ...