Alpha: Difference between revisions
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imported>Doug Williamson (Layout.) |
imported>Doug Williamson (Expand. Source: linked pages.) |
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1. ''Investment evaluation''. | |||
Alpha is the portion of an investment’s total return arising from specific (that is non-market) risk. | |||
It is a measure of the difference between the actual return and the expected performance arising from exposure to market risk factors. | It is a measure of the difference between the actual return and the expected performance arising from exposure to market risk factors. | ||
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An investment producing 'positive alpha' is one performing better than a benchmark with the same market risk. | An investment producing 'positive alpha' is one performing better than a benchmark with the same market risk. | ||
2. ''Bank supervision - operational risk''. | |||
Under the Basic Indicator Approach (BIA) for operational risk capital adequacy calculation, alpha is the weighting applied to gross income, to calculate the measure of risk. | |||
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* [[Benchmark]] | * [[Benchmark]] | ||
* [[Beta]] | * [[Beta]] | ||
* [[BIA]] | |||
* [[Market risk]] | * [[Market risk]] | ||
Revision as of 11:02, 29 October 2016
1. Investment evaluation.
Alpha is the portion of an investment’s total return arising from specific (that is non-market) risk.
It is a measure of the difference between the actual return and the expected performance arising from exposure to market risk factors.
Also known as the 'error term'.
An investment producing 'positive alpha' is one performing better than a benchmark with the same market risk.
2. Bank supervision - operational risk.
Under the Basic Indicator Approach (BIA) for operational risk capital adequacy calculation, alpha is the weighting applied to gross income, to calculate the measure of risk.
