Zarządzanie portfelem inwestycyjnym cz.2. Do oceny efektywności zarządzania portfelem inwestycyjnym, oprócz wymienionych w części I mierników, wykorzystuje się: Wskaźnik Alfa Jensena. wskaznik
http://blog.inwestomierz.pl/tag/wskaznik-alfa-jensena/
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Alfa bliska zeru wskazuje na to, że akcje spółki z pominięciem ryzyka nie przyniosły zwrotu ponad rynek. Beta równa 1,33 mówi zaś o tym, że długoterminowo w analizowanym okresie tygodniowe wahania kursu akcji były przeciętnie o jedną trzecią silniejsze niż wahania głównego indeksu rynkowego.
https://www.stockwatch.pl/artykuly/post/2010/04/12/Zarzadzan...

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Alpha and beta are both risk ratios that investors use as a tool to calculate, compare, and predict returns. You are most likely to see alpha and beta referenced with mutual funds. Both measurements utilize benchmark indexes, such as the S&P 500, and compare them against the individual security to highlight a particular performance tendency.

Alpha and beta are two of the five standard technical risk calculations, the other three being the standard deviation, R-squared, and Sharpe ratio.

Alpha

Alpha is perceived as a measurement of a portfolio manager's performance. For example, an 8% return on a growth mutual fund is impressive when equity markets as a whole are returning 4%, but it is far less impressive when other equities are earning 15%. In the first case, the portfolio manager would have a relatively high alpha, while that would not be true in the second.

If a capital asset pricing model (CAPM) analysis indicates that the portfolio should have earned 5% (based on risk, economic conditions and other factors), but instead earned only 3%, then the alpha of the portfolio would be -2%. In CAPM, alpha is the rate of return that exceeds what the model predicted. Investors generally prefer an investment with a high alpha.

The technical formula for calculating alpha is: (end price + distribution per share - start price) / (start price).


https://www.investopedia.com/ask/answers/102714/whats-differ...

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Alpha is used in finance as a measure of performance. Alpha, often considered the active return on an investment, gauges the performance of an investment against a market index or benchmark which is considered to represent the market’s movement as a whole. The excess return of an investment relative to the return of a benchmark index is the investment’s alpha.

Alpha is used for mutual funds and all types of investments. It is often represented as a single number (like 3 or -5), but this refers to a percentage measuring how the portfolio or fund performed compared to the benchmark index (i.e. 3% better or 5% worse).

Alpha is often used in conjunction with beta, which measures volatility or risk. Alpha is also often referred to as “excess return” or “abnormal rate of return.”

Deeper analysis of alpha may also include “Jensen’s alpha.” Jensen’s alpha takes into consideration capital asset pricing model (CAPM) market theory and includes a risk-adjusted component in its calculation.

BREAKING DOWN 'Alpha'
Alpha is one of five technical risk ratios. The others are beta, standard deviation, R-squared and the Sharpe ratio. These are all statistical measurements used in modern portfolio theory (MPT). All of these indicators are intended to help investors determine the risk-return profile of an investment.

https://www.investopedia.com/terms/a/alpha.asp#ixzz52rzKfRE6