Alpha is a risk-adjusted measure of the so-called active return on an investment. It is the return in excess of the compensation for the risk borne, and thus commonly used to assess active managers' performances. Often, the return of a benchmark is subtracted in order to consider relative performance, which yields Jensen's alpha. The alpha coefficient (<math>\alpha_i</math>) is a parameter in the capital asset pricing model (CAPM).

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  • Alpha is a risk-adjusted measure of the so-called active return on an investment. It is the return in excess of the compensation for the risk borne, and thus commonly used to assess active managers' performances. Often, the return of a benchmark is subtracted in order to consider relative performance, which yields Jensen's alpha. The alpha coefficient (<math>\alpha_i</math>) is a parameter in the capital asset pricing model (CAPM). It is the intercept of the Security Characteristic Line (SCL). Alternatively, it is also the coefficient of the constant in a market model regression. It can be shown that in an efficient market, the expected value of the alpha coefficient equals the return of the risk free asset: <math> E(\alpha_i) = r_f </math>. Therefore the alpha coefficient indicates how an investment has performed after accounting for the risk it involved: <math>\alpha_i < r_f </math>: the investment has earned too little for its risk (or, was too risky for the return) <math>\alpha_i = r_f </math>: the investment has earned a return adequate for the risk taken <math>\alpha_i > r_f </math>: the investment has a return in excess of the reward for the assumed risk For instance, although a return of 20% may appear good, the investment can still have a negative alpha if it's involved in an excessively risky position.
  • Der Alphafaktor (α) (Jensen-Alpha, Jensens Alpha) bezeichnet in der Finanzmarkttheorie das Maß für eine Extra-Rendite (positives Alpha) oder eine Minderrendite (negatives Alpha) einer Anlage, gegenüber einem Vergleichswert. Der Alphafaktor entspricht damit dem Teil der Aktienrendite, der von der Marktrendite unabhängig ist. Als Vergleichswert wird meistens ein Börsenindex oder ein bekannter Investmentfonds genommen. Ein positives Alpha bedeutet, dass sich der Wert eines Fonds besser als sein Benchmark - ein negatives Alpha bedeutet, dass sich der Wert schlechter als sein Benchmark entwickelt hat.
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  • Alpha is a risk-adjusted measure of the so-called active return on an investment. It is the return in excess of the compensation for the risk borne, and thus commonly used to assess active managers' performances. Often, the return of a benchmark is subtracted in order to consider relative performance, which yields Jensen's alpha. The alpha coefficient (<math>\alpha_i</math>) is a parameter in the capital asset pricing model (CAPM).
  • Der Alphafaktor (α) (Jensen-Alpha, Jensens Alpha) bezeichnet in der Finanzmarkttheorie das Maß für eine Extra-Rendite (positives Alpha) oder eine Minderrendite (negatives Alpha) einer Anlage, gegenüber einem Vergleichswert. Der Alphafaktor entspricht damit dem Teil der Aktienrendite, der von der Marktrendite unabhängig ist. Als Vergleichswert wird meistens ein Börsenindex oder ein bekannter Investmentfonds genommen.
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  • Alpha (investment)
  • Alphafaktor
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