How to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha
We’ve had a few questions related to 3-Factor Fama-French and 1-Factor (CAPM) alpha calculations recently (maybe it is midterm season?)
We’re here to help!
Below is a an old video (note the TurnkeyAnalyst reference) I put together that describes how to calculate alpha:
Here is the source excel file for the video tutorial:
how to calculate alpha
Our old post on the subject is at the following:
Note: Here is an epic post on the history of factor investing that might help students generate a better understanding of factor models.
Note: This site provides NO information on our value investing ETFs or our momentum investing ETFs. Please refer to this site.
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Definitions of common statistics used in our analysis are available here (towards the bottom)