Alpha is a risk-adjusted return metric. It is a measure that compares a fund’s performance to its benchmark. A fund with alpha zero means it has delivered the same returns as the benchmark. A negative alpha indicates that the fund has underperformed its benchmark. On the other hand, al...
managers, the Kalman filter does; (iii) The alpha and beta forecasts from the Kalman model are more accurate than those from the OLS timing models; (iv) The Kalman filter model tracks most fund alphas and betas better than OLS models that employ macroeconomic variables in addition to fund ...
AMFCX Fund USD 58.23 0.20 0.34% This module allows you to check different measures of market premium (i.e., alpha and beta) for all equities such as American Mutual Fund. It also helps investors analyze the systematic and unsystematic risks associated with investing in American Mutual over ...
Alpha, beta, and the Sharpe ratio are the most commonly used. Alpha Alphais a measure of an investment's performance on a risk-adjusted basis. It takes the volatility (price risk) of asecurityor fund portfolio and compares its risk-adjusted performance to a benchmark index. The excess retu...
Also, benchmark models adjusted by investor sentiment level can better explain the occurrence of fund alpha. This finding is confirmed by the cumulative distribution function (CDF) of the t values of the alpha estimates. Thus, the complete story of mutual fund alpha would be incomplete without ...
Scientific studies show that a standard deviation, alpha, beta, Sharpe and Treynor ratios are mostly employed for identifying the performance of mutual funds that are also compared with their benchmark index to establish if these funds are outperformed and if is it worth paying management fees to...
To eliminate the disruptive factor effects responsible for performance reversion, the AlphaBetaWorks Performance Analytics Platform calculates each portfolio’s return from security selection net of factor effects. αReturn is the return a portfolio would have generated if all factor returns had been zero...
power of Active Share into perspective, we compare it to the predictive power of tracking error as estimated by robust and predictive equity risk models. Instead of Active Share, we use AlphaBetaWorks’ default Statistical U.S. Equity Risk Model to forecast tracking error of a fund F at ...
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The world of smart beta is evolving as many companies innovate and launch new funds with both ETF and mutual fund structures. Through October 2018, the interest from investors in smart beta strategies for core holdings is evident from the strategy’s top five funds by assets under management: ...