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Güncellendi Alpha & Beta

Alpha & Beta Indicators for Portfolio Performance
β = Σ Correlation (RP, RM) * (σP/σM)
α P = E(RP) – [RF + βP(E(RM) – RF)]
Where,
RP = Portfolio Return (or Investment Return)
RM = Market Return (or Benchmark Index)
RF = Risk-Free Rate
How to use the Indicator
RM = SPX (Default)
The Market Return for the indicator has the options of
SPX,
NDX, or
DJI (S&P 500, Nasdaq 100, Dow 30)
RF = FRED: DTB3
The Risk-Free Rate in the Indicator is set to the 3-Month Treasury Bill: Secondary Market Rate
The Default Timeframe is 1260 or 5-Years (252 Trading Days in One Year)
RP = The symbol you enter
HOWEVER, you can determine your portfolio value by following the following directions below.
Note: I am currently working on an indicator that will allow you to insert the weights of your positions.
Complete Portfolio Analysis Directions
You will first need...
a) spreadsheet application - Google Sheets is Free, but Microsoft Excel will convert ticker symbols to Stocks and Retrieve Data.
b) your current stock tickers, quantity of shares, and last price information
In the spreadsheet,
In the first column list the stock tickers...
AMZN
AAPL
TSLA
In the second column list the quantity of shares you own...
5
10
0.20
In the third column insert the last price
Excel: Three tickers will automatically give you the option to "Convert to Stocks",
after conversion, click once on cell and click the small tab in the upper right-hand of the highlighted cell.
Click the tab and a menu pops up
Find "Price", "Price Extended-Hours", or "Previous Close"...
$3,284.72
$497.48
$2,049.98
Next, multiply the number of shares by the price (Stock Market Value)
Excel: in fourth column type "=(B1*C1)", "=(B2*C2)", "=(B3*C3)"...
= $16,423.60
= $4,974.80
= $410.00
add the three calculated numbers together or click "ΣAutoSum" (Portfolio Market Value)
= $21,808.40
Last, divide the market value of AMZN ($16,423.60) by the Portfolio Market Value ($21,808.40) for each of the stocks.
= 0.7531
= 0.2281
= 0.0188
These values are the weight of the stock in your portfolio.
Go back to TradingView
Enter into the "search box" the following...
AMZN*0.7531 + AAPL*0.2281 + TSLA*0.0188
and click Enter
Now you can use the "Alpha & Beta" Indicator to analyze your entire portfolio!
β = Σ Correlation (RP, RM) * (σP/σM)
α P = E(RP) – [RF + βP(E(RM) – RF)]
Where,
RP = Portfolio Return (or Investment Return)
RM = Market Return (or Benchmark Index)
RF = Risk-Free Rate
How to use the Indicator
RM = SPX (Default)
The Market Return for the indicator has the options of
RF = FRED: DTB3
The Risk-Free Rate in the Indicator is set to the 3-Month Treasury Bill: Secondary Market Rate
The Default Timeframe is 1260 or 5-Years (252 Trading Days in One Year)
RP = The symbol you enter
HOWEVER, you can determine your portfolio value by following the following directions below.
Note: I am currently working on an indicator that will allow you to insert the weights of your positions.
Complete Portfolio Analysis Directions
You will first need...
a) spreadsheet application - Google Sheets is Free, but Microsoft Excel will convert ticker symbols to Stocks and Retrieve Data.
b) your current stock tickers, quantity of shares, and last price information
In the spreadsheet,
In the first column list the stock tickers...
AMZN
AAPL
TSLA
In the second column list the quantity of shares you own...
5
10
0.20
In the third column insert the last price
Excel: Three tickers will automatically give you the option to "Convert to Stocks",
after conversion, click once on cell and click the small tab in the upper right-hand of the highlighted cell.
Click the tab and a menu pops up
Find "Price", "Price Extended-Hours", or "Previous Close"...
$3,284.72
$497.48
$2,049.98
Next, multiply the number of shares by the price (Stock Market Value)
Excel: in fourth column type "=(B1*C1)", "=(B2*C2)", "=(B3*C3)"...
= $16,423.60
= $4,974.80
= $410.00
add the three calculated numbers together or click "ΣAutoSum" (Portfolio Market Value)
= $21,808.40
Last, divide the market value of AMZN ($16,423.60) by the Portfolio Market Value ($21,808.40) for each of the stocks.
= 0.7531
= 0.2281
= 0.0188
These values are the weight of the stock in your portfolio.
Go back to TradingView
Enter into the "search box" the following...
AMZN*0.7531 + AAPL*0.2281 + TSLA*0.0188
and click Enter
Now you can use the "Alpha & Beta" Indicator to analyze your entire portfolio!
Sürüm Notları
Update: hline(0.0) and hline(-0.5).Sürüm Notları
Correction in Beta.Alpha is now expressed in a percentage.
Sürüm Notları
alpha = jensen's measure (expected portfolio return or 'ex-ante'added DGS2, DGS5, DGS10, DGS30 risk-free rates
Sürüm Notları
//ticker change for referenceAçık kaynak kodlu komut dosyası
Gerçek TradingView ruhuna uygun olarak, bu komut dosyasının oluşturucusu bunu açık kaynaklı hale getirmiştir, böylece yatırımcılar betiğin işlevselliğini inceleyip doğrulayabilir. Yazara saygı! Ücretsiz olarak kullanabilirsiniz, ancak kodu yeniden yayınlamanın Site Kurallarımıza tabi olduğunu unutmayın.
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, işlem veya diğer türden tavsiye veya tavsiyeler anlamına gelmez ve teşkil etmez. Kullanım Şartları'nda daha fazlasını okuyun.
Açık kaynak kodlu komut dosyası
Gerçek TradingView ruhuna uygun olarak, bu komut dosyasının oluşturucusu bunu açık kaynaklı hale getirmiştir, böylece yatırımcılar betiğin işlevselliğini inceleyip doğrulayabilir. Yazara saygı! Ücretsiz olarak kullanabilirsiniz, ancak kodu yeniden yayınlamanın Site Kurallarımıza tabi olduğunu unutmayın.
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, işlem veya diğer türden tavsiye veya tavsiyeler anlamına gelmez ve teşkil etmez. Kullanım Şartları'nda daha fazlasını okuyun.