Weighted Alpha

Weighted Alpha is a weighted measure of how much a stock has risen or fallen over a certain period on a risk-adjusted basis. The Alpha is weighted by placing more emphasis on recent activity than those assigned to earlier movements. 

Weighted Alpha

Weighted Alpha is a weighted measure of how much a stock has risen or fallen over a certain period on a risk-adjusted basis. The Alpha is weighted by placing more emphasis on recent activity than those assigned to earlier movements. This helps to give a return figure that has a greater focus on the most current period and is a more relevant measure for short-term analysis. 

 


Calculation of Weighted Alpha

Alpha is generated by regressing the investment's excess return on the benchmark excess return.  See Alpha for the detailed calculation.  There is no specific formula for weighted Alpha and the calculation is dependent on the technical analyst.

Weighted Alpha Interpretation

Weighted Alpha is used to find stocks that have shown a strong short term trend and to highlight those companies with  increasing momentum. Weighted Alpha is popular with technical analysts.


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