Unsystematic Risk/Alpha

[Rufolo]

I don't have any idea of video/document about ANOVA, so I can only suggest you to read a book which was used to be my favorite: John E. Freund's Mathematical Statistics
This is a good book. Clear mathematical procedure, rigorous argument, and most importantly - very incisive, no rubbish sentences.
Chapter 15 devotes wholly to ANOVA. I used to learn from it when I was taking the Hong Kong Statistical Society exams........

About this book....it is too expensive for now to buy it. Chapter 15 is the only one which at the moment is interesting for me. Any chance to adquire just that one?

thanks,

 

[chiyui]

Yeah I'll use 3FM in your case too (if I can get the data). So don't worry.
I only have a hardcopy of the book. One of my friend has found an e-book version but I'm afraid of pirate issue so I think you gotta use your own way to find Ch.15 as you need......

 

[Rufolo]

Yeah I'll use 3FM in your case too (if I can get the data). So don't worry.
I only have a hardcopy of the book. One of my friend has found an e-book version but I'm afraid of pirate issue so I think you gotta use your own way to find Ch.15 as you need......

Could yo please tell me the name of that chapter so i can find it in google books please?

Thanks once again

 

[chiyui]

Chapter 15 - Analysis of Variance
You're welcome (shake hands)

 

[Rufolo]

Hello again. Attached you'll find an excel with the calculate of alpha (using CAPM) for a given stock related to the benchmark:

- Columns B C, and D are the Weekly total return for the benchmark, stock and repo
- Columns I and J are benchmark and Stock returns adjusted by repo
- Then i calculated slope
- Column N is Ri Adjusted- Beta*(Benchmark Adjusted)
- Then i calculated the sTDEV for these series and annualized, so i obtained the 36.0321 which should be the alpha of the stock

Please correct me if i am wrong.

Thanks a lot.

edit: i also calculated the alpha using average for the benchmark and portfolio's returns. It retrieves 0.2483, which i think more accurate, and i also use the intercept formula in excel which retrieves -1.62 ... so what do you think?
I think best and more accurate is using the average of both portfolio and benchmark return, but then, should i annualized the alpha resulting of 0.2483?

edit2: what would you take, average or median in order to use it for the portfolio and benchmark returns?

Regards.