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Alpha Equation
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Alpha Equation
07-23-2012
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Prof. Dr. Sinsi
Alpha Equation
* 1
Regression usually run over 36-60 months of data: Return- Treasury bill = alpha + beta ( S&ampampP 500 - Treasury bill) + error
The alpha is the intercept
Note that the benchmark does not necessarily have to be the S&ampampP 500
A mutual fund specializing in international investment might be benchmarked to a broader world market index, such as the MSCI World Index
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