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Stock Expected 12-Month Return
Five-Year Avg.Standard
DeviationBeta Hearthstone [td=1,1,120]15% 34% 1.6 Imperial Shipyards 9% 12% 0.7 Minster Mask and Costume 26% 44% 1.4 Kustom Auto 11% 14% 0.85
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Hearthstone = 27.35%.
Imperial = 27.50%.
Kustom Auto = 37.86%.
Minster = 46.14%.
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Magnitude | Position |
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E(R) = RF + βm) – RF] = 0.05 + 1.25[0.15 – 0.05] = 0.175 = 17.5%.
alpha = 0.15 – 0.175 = −0.025 = −2.5%.
Magnitude | Position |
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E(R) = RF + βm) – RF] = 0.05 + 1.25[0.15 – 0.05] = 0.175 = 17.5%.
alpha = 0.15 – 0.175 = −0.025 = −2.5%.
Allocation to long positions | Alpha |
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