Alpha (Investment)

Alpha (Investment)

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Description

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Alpha is a risk-adjusted measure of the so-called active return on an investment. It is the return in excess of the compensation for the risk borne, and thus commonly used to assess active managers' performances. Often, the return of a benchmark is subtracted in order to consider relative performance, which yields Jensen's alpha. The alpha coefficient ( i) is a parameter in the capital asset pricing model (CAPM). It is the intercept of the security characteristic line (SCL), that is, the coefficient of the constant in a market model regression. It can be shown that in an efficient market, the expected value of the alpha coefficient is zero. Therefore the alpha coefficient indicates how an investment has performed after accounting for the risk it involved.show more

Product details

  • Paperback | 56 pages
  • 152 x 229 x 3mm | 95g
  • Log Press
  • United States
  • English
  • 6136556014
  • 9786136556017