Alpha

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Related to alpha-fetoprotein: carcinoembryonic antigen, Alpha-Fetoprotein Test

Alpha

Measure of risk-adjusted performance. Some refer to the alpha as the difference between the investment return and the benchmark return. However, this does not properly adjust for risk. More appropriately, an alpha is generated by regressing the security or mutual fund's excess return on the benchmark (for example S&P 500) excess return. The beta adjusts for the risk (the slope coefficient). The alpha is the intercept. Example: Suppose the mutual fund has a return of 25%, and the short-term interest rate is 5% (excess return is 20%). During the same time the market excess return is 9%. Suppose the beta of the mutual fund is 2.0 (twice as risky as the S&P 500). The expected excess return given the risk is 2 x 9%=18%. The actual excess return is 20%. Hence, the alpha is 2% or 200 basis points. Alpha is also known as the Jensen Index. The alpha depends on the benchmark used. For example, it may be the intercept in a multifactor model that includes risk factors in addition to the S&P 500. Related: Risk-adjusted return.

Alpha

1. The measure of the performance of a portfolio after adjusting for risk. Alpha is calculated by comparing the volatility of the portfolio and comparing it to some benchmark. The alpha is the excess return of the portfolio over the benchmark. It is important to Markowitz portfolio theory and is used as a technical indicator.

2. The excess return that a portfolio makes over and above what the capital asset pricing model estimates.

alpha

The mathematical estimate of the return on a security when the market return as a whole is zero. Alpha is derived from a in the formula Ri = a + bRm which measures the return on a security (Ri) for a given return on the market (Rm) where b is beta. See also capital-asset pricing model, characteristic line.

Alpha.

Alpha measures risk-adjusted return, or the actual return an equity security provides in relation to the return you would expect based on its beta. Beta measures the security's volatility in relation to its benchmark index.

If a security's actual return is higher than its beta, the security has a positive alpha, and if the return is lower it has a negative alpha.

For example, if a stock's beta is 1.5, and its benchmark gained 2%, it would be expected to gain 3% (2% x 1.5 = 0.03, or 3%). If the stock gained 4%, it would have a positive alpha.

Alpha also refers to an analyst's estimate of a stock's potential to gain value based on the rate at which the company's earnings are growing and other fundamental indicators.

For example, if a stock is assigned an alpha of 1.15, the analyst expects a 15% price increase in a year when stock prices are generally flat. One investment strategy is to look for securities with positive alphas, which indicates they may be undervalued.

References in periodicals archive ?
Estimating a women's risk of having a pregnancy associated with Down syndrome using her age and serum alpha-fetoprotein level.
Major Finding: A combination of ultrasound and alpha-fetoprotein testing has a specificity of 100% and a sensitivity of 87% for detecting hepatocellutar carcinoma in patients with cirrhosis.
Recently, it has been proposed that suprasellar pleomorphic neoplasms be classified as suprasellar germ cell tumors rather than craniopharyngiomas based on the following criteria: (1) mildline suprasellar location; (2) varying populations of neoplastic cells composed of a mixture of germinatous (seminoma/ dysgerminoma-like) areas, hepatoid cells, and areas with intestinal or respiratory epithelial differentiation; and (3) positive staining for alpha-fetoprotein (KOESTNER, 1999; NYSKA et al.
Tests for maternal serum alpha-fetoprotein (AFP) levels primarily are used to help diagnose fetal anomalies, especially neural tube defects, and can predict an increased risk for unexplained stillbirth, previous studies have shown.
Keywords: cancer, breast cancer, carcinoembryonic antigen, alpha-fetoprotein, CEA, AFP, CA 15-3, CA 27.
This test measures levels of human chorionic gonadotropin (hCG), alpha-fetoprotein (AFP) and estriol.
Radioimmunoassay of alpha-fetoprotein in human plasma.
1] During the course of one further study, Brock and Bolton identified a case of anencephaly through analysis of the concentration of alpha-fetoprotein in the pregnant woman's blood alone.
Based on clinical and laboratory data on serologic markers associated with HCC and on radiologic tests for HCC, the workshop participants concluded that serum alpha-fetoprotein (AFP) and ultrasound are the most sensitive markers available at this time for the early detection of HCC.
This report presents a detailed analysis of the Alpha-fetoprotein testing market in the US, Europe (France, Germany, Italy, Spain, UK) and Japan, including clinical significance and current laboratory practice; 5- and 10-year test volume and sales forecasts by country and market segment; as well as sales and market shares for major suppliers.
They present with elevated levels of alpha-fetoprotein in 50% of cases.