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Ketayun: You could construct an indicator which is the ratio of:
[The stock price / The price of the index (or sector or sector fund) that
the stock is in]......
Run an average of the above calculation. The stocks with the highest value
over your average period length would have the highest return relative to the
return of the base security (which is the sector the stock belongs in).
Since alpha measures absolute excess return, I believe the above indicator
would be very useful for your purposes.
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