The indicator of the sensitivity of an asset or portfolio relative to the market
Indicator appearance
Alpha coefficient (α, alpha factor) is a measure calculated for a security that links the portfolio's return to the benchmark return.
The alpha coefficient (α) is calculated using the following formula:
$$ α=R-(R_F+β×(R_M-R_F) $$
where $R$ is the asset's 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 of 2 means that if the index increases by 1 percent, the price of the security will increase by 2 percent.
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A negative beta coefficient indicates an inverse relationship between the change in the price of the security and the value of the index. A beta coefficient equal to zero indicates the absence of a relationship between the change in the price of the security and the index.
The beta (β) indicator is calculated using the following formula:
$$ β=\dfrac{\sum_{k=2}^N(ΔI^k×ΔP^k)-(\sum_{k=2}^N{ΔI^k×\sum_{k=2}^N}ΔP^k)}{\sum_{k=2}^N(ΔI^k)^2-(\sum_{k=2}^NΔI^k)^2/(N-1)} $$
The Sharpe ratio is a measure that combines the average excess return over the risk-free rate divided by the standard deviation or total risk.
The Sharpe ratio is calculated using the following formula:
where R is the asset's return, RF is the risk-free rate, σp is the asset's volatility.
$$ β=\dfrac{R_p-R_F}{σ_p} $$
where $R_p$ is the asset's return, $R_F$ is the risk-free rate, $σ_p$ is the asset's volatility.
The indicator is an oscillator with a percentage scale and has the following parameters for setting: