Regression usually run over 36-60 months of data: Return-Treasury bill= alpha + beta (S&P 500 - Treasury bill) + error. The alpha is the intercept. Note that the benchmark does not necessarily have to be the S&P 500. A mutual fund specializing in international investment might be benchmarked to a broader world market index, such as the MSCI...
Found on
http://www.duke.edu/~charvey/Classes/wpg/bfglosa.htm
The alpha of a fund is determined as follows: [ (sum of y) -((b)(sum of x)) ] / n where: n =number of observations (36 months) b = beta of the fund x = rate of return for the S&P 500 y = rate of return for the fund
Found on
http://www.encyclo.co.uk/local/20047
Regression usually run over 36-60 months of data
Found on
http://www.encyclo.co.uk/local/22402
No exact match found.
