Alpha is the amount by which the returns from a given asset exceed the returns from the wider market.  The standard way … of estimating alpha is to correct for correlation with the market by regressing the asset's returns against the market … alpha based on the Markov inequality.  Since it is based on the compound value of the estimated excess returns, we call it …

selection. We argue that the alpha of hedge funds is dynamic and that the time-varying alpha captures this dynamic behavior …. Therefore, forming portfolios based on their time-varying alpha should lead to outperforming portfolios. Using a persistence … analysis, we check this conjecture and show that contrary to top performers in terms of OLS alpha, the top performers in terms …

Hedge fund managers trade off the benefits of leveraging on the alpha-generating strategy against the costs of … inefficient fund liquidation. In contrast to the standard risk-seeking intuition, even with a constant-return-to-scale alpha …

“Alpha” has symbolic importance on the investments side of finance. That is, a fundamental pillar of modern finance … theory is the risk-return relation, and traditionally alpha is taken to represent the degree of “mispricing” in asset returns …. But, such an interpretation is not always appropriate – seemingly paradoxically, for certain specific setups alpha …

capture daily valuation swings caused by market-moving events over time.   Alpha values are calculated using the CAPM enabling …

capture daily valuation swings caused by market-moving events over time.   Alpha values are calculated using the CAPM enabling …