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标题: JENSENS Alpha [打印本页]

作者: BC_MBA_student 时间: 2011-7-13 16:27 标题: JENSENS Alpha

Where is this in the books and what is it?

作者: Swanand 时间: 2011-7-13 16:27

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

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

作者: SeanWest 时间: 2011-7-13 16:27

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

作者: Otabek 时间: 2011-7-13 16:27

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

作者: yospaghetti 时间: 2011-7-13 16:27

What a bad@ss. I need to come up with a cool ratio: Sharpe, Jensen, Sortino, etc...It's a pretty exclusive club.

作者: defour44 时间: 2011-7-13 16:27

Jensen is a genius.

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