|
PureBytes Links
Trading Reference Links
|
Could it be that "Alpha" may be what you're looking for? It is described in
the Monocle II manual as a "statistic to measure the risk adjusted return of
a fund relative to the benchmark. Alpha is calculated by using a
least-squares regression of the fund against that of the benchmark...." As
I understand it, Beta tells you how the fund (or stock) performs relative to
say the S&P 500, while the Alpha would tell you how much better or worse the
fund or stock performed relative to what the beta would predict..
If you're interested, I'll scan the entire description of the calculation
and e-mail it to you.
Leo
UG wrote:
> Is there an indicator that measures movement with respect to the market?
> Not Beta; that's volatility. I'm looking for something that would vary
> in value from a negative number to a positive one; a value of 1 would
> indicate the security rises in price when the market rises in price, and
> about the same amount. A value of -2 would indicate the security drops
> in price when the market rises (and vice versa), and about double the
> amount.
>
> Does such an indicator exist?
>
> --
> ========================================================================
> If God had meant us to be naked, we would have been born that way
> http://www.unixgeek.com/cgi-bin/motd.pl - PGP email preferred
|