Can someone help on this question: I need to calculate Alpha and Beta for two sets of symbols for equity, one having daily data, and another set having monthly data. 1. I am using these formulas for Alpha and Beta, yet the units for Alpha do not match those I can find on various web sites. Formulas: Beta = (( Periods * Sum(ROC( C,1) * ROC(Mkt,1),Periods )) -
(Sum(ROC(C,1),Periods) * Sum(ROC( Mkt,1),Periods))) / ((Periods * Sum((ROC(Mkt,1)^2 ),Periods)) - (Sum(ROC(Mkt,1 ),Periods)^2 )); Alpha = (Sum(ROC( C,1) ,Periods) - ( Beta ) * Sum( ROC( Mkt,1) ,Periods ) ) / Periods; One article states that Alphas, according to Morningstar, range from -11 to 45 with an average of all funds around 2. One such fund is listed having an Alpha of 11.5, and my calculation is 0.36. So, do the formulas look right and does anyone have a representative measure of Alpha? 2. I am having fits making the formulas calculate daily vs monthly data. My attempts to use inMonthly timeframes does not work (values either blank or incorrect when compared to other sources. Thus, I would like to have a single formula run and then manually select Monthly or Daily periodicity in the Settings box. Is there a Status command that tells the code whether the periodicity is set on Monthly or Daily? 3. Further, I would like the "Periods" in the above formula to be determined from the date range, and I can calculate a "Periods" value when I am in Daily periodicity. But, try as I might, I get Periods equal to zero unless I put in a manual setting for periods, say Periods = 12;. This works for Daily, what would I use for a Periodicity of Monthly? Index1 = ValueWhen( DateNum()== StartDate ,BarIndex(), 1); Index2 = ValueWhen( DateNum()== EndDate ,BarIndex(), 1); Enddate = ValueWhen(DateNum()==Enddate,DateTime(),1); Periods = LastValue(Index2 - Index1); Thanks for any suggestions, Ken
