Fama-French 3 Factor Model
Extension of the Capital Asset Pricing Model (CAPM)
CAPM
Ra = Rfr +
where,
Ra = Return of the Asset
Rfr = Risk-Free Rate
βa = Beta Coefficient of the Asset
Rm - Rfr = Market Risk Premium
Fama-French 3 Factor
r = rf + β1*(rm - rf) + β2(smh) +β3(hml)
r = Expected rate of return
rf = Risk-free rate
ß = Factor’s coefficient...
Risk Metrics for Crypto.
Market can be set to BTCUSD, BTCEUR, BTCCHF, BTCGBP, BTC1!, BTC2!, SPX, and DTB3
Beta
Correlation
Standard Deviation
Variance
R-squared
These variables can be used in comparison with the implied volatility of options.
Variables:
Realized Volatility
mathematical notation lowercase 'sigma'
Realized Variance
mathematical notation lowercase 'sigma' squared
Realized Beta
mathematical notation lowercase 'beta'
Timeframes:
Yearly = 250 or 365
Quarterly = 50 or 90
Monthly = 20 or...
Portfolio Risk Metrics (Part I):
beta 'β'
The beta coefficient can be interpreted as follows:
β =1 exactly as volatile as the market
β >1 more volatile than the market
β <1>0 less volatile than the market
β =0 uncorrelated to the market
β <0 negatively correlated to the market
excerpt from the Corporate Finance Institute
correlation coefficient 'ρxy'...
Alpha & Beta Indicators for Portfolio Performance
β = Σ Correlation (RP, RM) * (σP/σM)
α P = E(RP) –
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,...
Display the correlation coefficient and/or Beta of an asset to a specified market.
Options to:
- Specify market (S&P500 futures by default)
- Display one or other metrics
- Modify assessment period (200 bars by default)
- Calculate on price, returns or log-returns
My beautiful traders, how is everyone doing? This indicator I built detects trends, I haven't seen any repaints, I only had 3 minor ones. It is still on BETA version.
To all new traders, and busy traders I will be posting one that you can set alerts. Please look under my profile or type " K.M Trend Alerts (BETA 1.2) " .
I ask for everyone to try this script...
The script derives the Beta Value of 252 days of a stock with Benchmark Index NIFTY 50. Note:- I have edited the script using an existing Beta script by Ricardo Santos. Thank you to him! :)
en.wikipedia.org(finance)
Beta is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors.
The market portfolio of all investable assets has a beta of exactly 1 (here the S&P500). A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment...
Shows an instrument's sentiment in a day (or week) compared to the market (SPY default). The Red line shows bearish sentiment compared to the market and the green is bullish. Technically this works like a proxy for Alpha/Beta factor.
This is my 1st indicator, and my attention is to plot the VWAP "Volume-weighted average price" using the SMA "Simple Moving Average" over time... IE over the last 50,100,200 bars and just the VWAP... All of them in just one line... I have made it when I have been using the BTC/US chart, but it should work for stocks/forex or any other chart that you want to...
The Anomaly Indicator is an idea I recently come up with. Its very simple, yet it can be extremely useful. The Anomaly indicator detects the current and general trend channels. When the yellow line which is the current channel, exits the general channel this will usually mean an anomaly. Anomalies can vary within meaning, from a trend reversal, a market change...
Like I said previously in the " K.M Trend Strategy (BETA 1.2) " this is the script to set alerts. If you haven't seen the strategy one please search it. Please look at the strategy post to see more information. Thank you.
Buy Alerts = P (greater then) B
Sell Alerts = P (less then) B
Sincerely,
Kevin Manrrique
Follow us on Instagram: TWTForexGroup, we...
Alpha is a measure of the active return on an investment, the performance of that investment compared to the S&P500 index, where 0.01 = 1%
alpha < 0: the investment has earned too little for its risk (or, was too risky for the return)
alpha = 0: the investment has earned a return adequate for the risk taken
alpha > 0: the investment has a return in...
