The Alpha* Statistic by Thomas Becker, Ph.D.

Fri, 2011-03-18

The α* statistic was introduced by Richard C. Marston in 2004 as a measure of risk-adjusted excess return. The idea of risk-adjusted excess return is based on the premise that comparing the return of a manager to that of a benchmark is inherently unfair. That is because the risk levels of the manager and the benchmark are almost always different.


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