As opposed to Jensen's Alpha, the Alpha2 study calculates the excess average return of a benchmark index relative to the average return of a security or portfolio. Thus, it is equal to average rate of change in benchmark index price minus that of the security multiplied by benchmark Beta2. Alpha2 assumes that the security has a Beta2 of 1.0.
By default, this study conducts calculation against the SPX index.
||The price used in calculations.|
||The number of bars used to calculate the average returns of the index and the security.|
||The number of bars used to calculate the rate of change.|
||The benchmark index against which the study is calculated.|
||The Alpha2 study.|
*For illustrative purposes only. Not a recommendation of a specific security or investment strategy.