jensen's alpha
Posted: Thu Jul 31, 2014 12:15 pm
Dear All,
I am going to measure the performance of funds based on Jensen's alpha.
Rpt - Rft = alpha + beta*(Rmt-Rft) + Et (Model)
a) Rpt minus Rft - is initially calculated and imported into Eviews as series and named "RpRf"
b) Rmt minus Rft is calculated and imported into Eviews as series and named "RmRf"
Regression in Eviews: RpRf c RmRf.
And the coefficient for RmRf (BEta) is different from the one calculated in Excel.
Coefficient for C(Constant - Alpha) is different from the calculated one in Excel.
Am I just asking, the way that I have introduced above is correct way to do?
I am going to measure the performance of funds based on Jensen's alpha.
Rpt - Rft = alpha + beta*(Rmt-Rft) + Et (Model)
a) Rpt minus Rft - is initially calculated and imported into Eviews as series and named "RpRf"
b) Rmt minus Rft is calculated and imported into Eviews as series and named "RmRf"
Regression in Eviews: RpRf c RmRf.
And the coefficient for RmRf (BEta) is different from the one calculated in Excel.
Coefficient for C(Constant - Alpha) is different from the calculated one in Excel.
Am I just asking, the way that I have introduced above is correct way to do?