JENSENS Alpha

Where is this in the books and what is it?

Swanand

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发表于 2011-7-13 16:27 | 只看该作者

Its in portfolio management. Its just Alpha, nothing special...

Alpha is "Jensens Alpha" , I guess Jensen coined the phrase or something.

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SeanWest

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发表于 2011-7-13 16:27 | 只看该作者

Definition of alpha? Simply returns over BM or risk adjusted returns?

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Otabek

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发表于 2011-7-13 16:27 | 只看该作者

kalo1 Wrote:
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> Definition of alpha? Simply returns over BM or
> risk adjusted returns?

There are two types of Alpha. Ex-Ante and Ex-Post Alpha.

Ex-Ante (before) = use CAPM to determine your required return. Expected - Required = Ex Ante

Ex-Post (after) = Actual Returns - Benchmark Returns

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yospaghetti