Description Usage Arguments Examples
Alpha is the intercept of a fitted line when dependent variable is the benchmark return and independent variable is a asset return of the same period. It is a measure of the active return on an investment. Alpha, along with beta, is one of the two key coefficients in the CAPM used modern portfolio theory.
1 |
ar |
:a vector of a risk asset return |
br |
:a vector of benchmark return |
1 2 3 |
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