Indicator of sensitivity of an asset or portfolio relative to the market.
Appearance of the indicator.
Alpha coefficient (α, alpha factor) is an indicator calculated for an asset value, linking the portfolio return to the benchmark return.
The alpha factor (α) is calculated using the following formula:
$$ α=R-(R_F+β×(R_M-R_F) $$
where $R$ is the asset return, $R_F$ is the risk-free rate, $R_M$ is the benchmark return, and $β$ is the beta coefficient.
The beta coefficient$β$) shows the sensitivity of the price of an individual asset to the value of the index.
<aside> 💡 For example, a beta value equal to 2 means that in case the index grows by 1 percent, the price of a security will grow by 2 percent.
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A negative value of the beta coefficient indicates an inverse relationship between the change in the price of a security and the value of the index. A beta coefficient equal to zero indicates that there is no relationship between the change in the price of the security and the index.
The beta coefficient$β$) is calculated using the following formula:
$$ β=\dfrac{\sum_{k=2}^N(ΔI^k×ΔP^k)-(\sum_{k=2}^N{ΔI^k×\sum_{k=2}^N}ΔP^k)}{\sum_{k=2}^N(ΔI^k)^2-(\sum_{k=2}^NΔI^k)^2/(N-1)} $$
Sharpe ratio is an indicator that contains the average earnings in excess of the risk-free rate divided by the unit of volatility or total risk.
The Sharpe ratio is calculated using the following formula:
$$ β=\dfrac{R_p-R_F}{σ_p} $$
Where $R_p$ is the return on the asset, $R_F$ is the risk-free rate, $σ_p$ is the volatility of the asset.
Indicators are oscillators. The user can set the necessary values to each argument of the model.