Timeline for Can alpha be positive if cumulative returns underperform the benchmark?
Current License: CC BY-SA 4.0
17 events
| when toggle format | what | by | license | comment | |
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| Apr 26, 2021 at 9:59 | answer | added | phdstudent | timeline score: 2 | |
| Apr 26, 2021 at 4:11 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Feb 6, 2021 at 12:00 | history | tweeted | twitter.com/StackQuant/status/1358022633296699393 | ||
| Dec 27, 2020 at 4:06 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Aug 29, 2020 at 4:05 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jul 30, 2020 at 18:36 | comment | added | nijshar28 | @fesman Thanks. Your comments were really helpful. | |
| Jul 30, 2020 at 17:54 | comment | added | fes | No perfect choice here. Something like 3 month T-bill is quite standard. | |
| Jul 30, 2020 at 14:55 | comment | added | nijshar28 | @fesman Understood. Thanks! Is there a good source for risk-free rates that you recommend? I generally see people either use a constant 2%, or a yield series for something like a 10yr T-bond. And the results vary quite a bit depending on what the Rf is defined as. So I decided to just stick with 0. But maybe there's some consensus Rf measure I am unaware of? | |
| Jul 30, 2020 at 8:41 | comment | added | fes | Typically it is good to have them, they can affect alphas quite a lot. Anyway, the economic intuition in your example is that you can think of your strategy as insurance. Such insurance is valuable even when it provides low returns. | |
| Jul 30, 2020 at 8:31 | comment | added | nijshar28 | @fesman I think I see what you are saying. By the way, I believe the software I am relying on uses a 0 risk-free rate by default. Not sure, if I should start incorporating Rf into my analyses. How critical do you think the use of Rf is in portfolio analytics? I am only working with data from the last two decades. | |
| Jul 30, 2020 at 7:16 | comment | added | fes | This strategy is statistically a decent hedge to the benchmark. According to a CAPM style model, zero alpha would mean a return clearly below the risk free rate. If it yields the risk free rate, it already has a clearly positive alpha. | |
| Jul 30, 2020 at 3:37 | answer | added | kurtosis | timeline score: 2 | |
| Jul 30, 2020 at 3:13 | history | edited | nijshar28 | CC BY-SA 4.0 |
added 136 characters in body
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| Jul 29, 2020 at 23:28 | comment | added | nijshar28 | @phdstudent Here we go: drive.google.com/file/d/1m04SfUPzYdB9fPPSLMHbNq5iM0LWf3fc/…. Thanks! | |
| Jul 29, 2020 at 23:05 | comment | added | phdstudent | That's possible yes. Can you share a spreadsheet with both time-series of returns? It would make it easier to shed some light on that. | |
| Jul 29, 2020 at 22:45 | review | First posts | |||
| Jul 30, 2020 at 8:50 | |||||
| Jul 29, 2020 at 22:42 | history | asked | nijshar28 | CC BY-SA 4.0 |