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Can someone help on this
question:
I need to calculate Alpha
and Beta for two sets of symbols for equity, one having daily data, and another
set having monthly data.
1. I am using these
formulas for Alpha and Beta, yet the units for Alpha do not match those I can
find on various web sites.
Formulas:
Beta = (( Periods * Sum(ROC( C,1) * ROC(Mkt,1),Periods )) -
( Sum(ROC(C,1),Periods) * Sum(ROC(
Mkt,1),Periods))) /
((Periods * Sum((ROC(Mkt,1)^2 ),Periods)) -
(Sum(ROC(Mkt,1 ),Periods)^2 ));
Alpha = (Sum(ROC( C,1) ,Periods) - (
Beta ) * Sum( ROC( Mkt,1) ,Periods ) ) / Periods;
One article states that
Alphas, according to Morningstar, range from -11 to 45 with an average of all
funds around 2. One such fund is listed having an Alpha of 11.5, and my
calculation is 0.36.
So, do the formulas look
right and does anyone have a representative measure of
Alpha?
2. I am having fits
making the formulas calculate daily vs monthly data. My attempts
to use inMonthly timeframes does not work (values either blank or incorrect
when compared to other sources. Thus, I would like to have a single
formula run and then manually select Monthly or Daily periodicity in the
Settings box. Is there a Status command that tells the code whether the
periodicity is set on Monthly or Daily?
3. Further, I would
like the "Periods" in the above formula to be determined from the date range,
and I can calculate a "Periods" value when I am in Daily
periodicity. But, try as I might, I get Periods equal to zero unless I put
in a manual setting for periods, say Periods = 12;.
This works for Daily, what
would I use for a Periodicity of Monthly?
Index1 = ValueWhen(
DateNum()== StartDate
,BarIndex(), 1);
Index2 = ValueWhen(
DateNum()== EndDate
,BarIndex(), 1);
Enddate = ValueWhen(DateNum()==Enddate,DateTime(),1);
Periods = LastValue(Index2 - Index1);
Thanks for any
suggestions,
Ken
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