Alpha equation

Definition: [crh] Regression usually run over 36-60 months of data: Return-Treasury bill= alpha + beta<Definition: /A> (S&P 500 - Treasury bill) + error. The alpha is the intercept. Note that the benchmark does not necessarily have to be the S&P 500. A mutual fund specializing in international investment might be benchmarked to a broader world market index, such as the MSCI World Index.

<< Go back