Alpha & Beta Calculation
Beta
Beta is estimated as the slope from an OLS regression of the fund's daily excess returns on the benchmark's daily excess returns, using all trading days in the selected date range. Excess returns are calculated as the portfolio or benchmark return minus the daily risk-free return.
Daily Alpha
Daily alpha is estimated as the intercept from an OLS regression of the fund's daily excess returns against the benchmark's daily excess returns over the selected date range.
Annualized Alpha
Annualized alpha is calculated by taking the daily regression intercept (alpha) and multiplying it by 252 trading days. This represents the portfolio's estimated excess return relative to the benchmark after adjusting for market exposure (beta).
