1
vote
2answers
56 views

Calculate alpha (CAPM) in “cross country-portfolio”

Assume I wanted to compute the alpha (in CAPM sense, i.e. $r_i - r_f = \alpha_i + \beta_i(r_m - r_f) + \epsilon_i$) of a stock. So I take, say, monthly returns of a stock $i$ for 1 year. Subtract the ...
2
votes
1answer
535 views

Using alpha to evaluate trading strategy

I have a trading strategy that generates returns $R_{t}$. I want to test the strategy by looking at the alpha: $R_t - R_{f,t} = \alpha + \beta (R_{m,t} - R_{f,t}) + e_t$ I compare my alpha against ...