When I regress the excess performance of a portfolio on the MKT Factor using daily data. I get a Beta of 0.95 and an alpha of 0.00011 that I annualize *252 = 2.77%
I know that the annualized return of the MKT Factor is 8.5% for the period and the annualized performance of the excess return of the portfolio is 11%. When I add up 2.77% + 0.95*8.5% = 10.85% , I don't get the 11% annnualized performance of the portfolio. Why is that? Is my alpha correctly annualized?
Edit : The return of the MKT is annualized using : (1+Return)^(252/Number of days)-1
When Changing for 365 days instead of 252 days I go over the 11% return. Why is that? Alpha is annualized using 365 days and MKT return. Beta stays constant.