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Strategies & Market Trends : TA Science Projects & Experimental Indicators -- Ignore unavailable to you. Want to Upgrade?

To: HeyRainier who wrote (119)	5/25/1998 11:44:00 PM
From: ftth	Read Replies (1) \| Respond to of 237

We can calculate alpha. No biggie. It falls out of a regression analysis, as does beta. The hard part is choosing which index to use and what time periods to use. A good reference on alpha, beta, r-squared (and an excellent reference overall) is: Investments, by Sharpe (of Sharpe ratio fame), Alexander, Bailey. I have the 5th edition (think there's a new one out). ISBN is 0-13-103771-4. This is probably the single most frequently used reference book I have. Highly recommend it. dh