alpha

Hi @David Harper CFA FRM , I am very sorry that I am disturbing you as of this crucial moment. However reading more about the formula of Alpha has confused me to greater lengths than it should have. Hence I wanted a conceptual clarity on the formula of Alpha. 1. Now as I understand it we...

Hi David, Page 5 of Chapter 14: Portfolio Construction (Grinold) states the following Consider for instance, an Information Coefficient (IC) of 0.05 and a typical residual risk (volatility) of 30 percent would lead to an alpha scale of 1.5 percent (0.05 x 0.3 = 1.5%). In this case, the mean...

Hi @David Harper CFA FRM CIPM This is probably a trivial question. In the notes to Grinold (and in the reading itself) about Alpha scaling it states: ...the original alphas have a standard deviation of 2.00 percent and the modified alphas have a standard deviation of 0.57 percent. This...

Hi David. Could you please explain the process of Scaling and Trimming alphas (in the Topic - Grinold & Kahn. Chapter 16 - Refining Alphas - Scaling and Trimming Alpas - AIM 53.2) 1) how do i interpret this formula for scaling : Alpha = (Volatility) x (Information coefficient) x (Score)...

Dear David, I’ve had some confusion, misunderstanding and doubts when doing 09 Level I Annotated Boot Camp. Appreciate your kind help on this! I’ve noticed an important difference between you and FRM handbook with respect to calculating information ratio: in all your practice...

Hi David, I have a question A portfolio underperformed its benchmark by 2%.what can we say about alpha ? a. alpha is -2% b.alpha is definitely negative c.alpha can be positive or negative answer given is c . I can guess it to be c but can I have a more intuitive explanation from you...