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bigredhockey55

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tT
发表于 2011-7-13 16:37 | 只看该作者

seeking alpha

advice, sometimes, expected
Why is alpha sometimes :

(expected - rfr)/stnd dev

and other times it is:

(expected - capm)/stnd dev

Any advice on when to use each.

In TB model it is (expected-capm)/stnd dev so when to use the other??

 

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iteracom

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2#
发表于 2011-7-13 16:37 | 只看该作者
where did std dev makes its way into alpha?

the two alphas I know of:

1. Ex Ante Alpha = Required Return - expected Return

2. Ex Post Alpha = Required Return - contemporaneous return from like stocks/assets

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