Pengertian Alpha - Beta - R-Squared

Berikut beberapa pengertian Alpha - Beta - R-Squared dari berbagai sumber, utamanya Investopedia... yang jelas bukan dari saya, saya comot-comot doang.

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Conceptually, Beta is a measure of how volatile a stock is compared to a universe and Alpha is a measure of how well the stock has performed after removing the effect of Beta. In other words, the Alpha of a stock is a form of volatility adjusted Strength (RSJ No matter how you calculate Alpha and Beta, this basic concept remains unchanged.

Alpha: Measures risk relative to the market or benchmark index
Beta: Measures volatility or systemic risk compared to the market or the benchmark index
R-Squared: Measures the percentage of an investment's movement that are attributable to movements in its benchmark index

Alpha

What does it Mean?
1. A measure of performance on a risk-adjusted basis. Alpha takes the volatility (price risk) of a mutual fund and compares its risk-adjusted performance to a benchmark index. The excess return of the fund relative to the return of the benchmark index is a fund's alpha.
2. The abnormal rate of return on a security or portfolio in excess of what would be predicted by an equilibrium model like the capital asset pricing model (CAPM).

Investopedia Says...
1. 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-reward profile of a mutual fund. Simply stated, alpha is often considered to represent the value that a portfolio manager adds to or subtracts from a fund's return.

A positive alpha of 1.0 means the fund has outperformed its benchmark index by 1%. Correspondingly, a similar negative alpha would indicate an underperformance of 1%.

2. If a CAPM analysis estimates that a portfolio should earn 10% based on the risk of the portfolio but the portfolio actually earns 15%, the portfolio's alpha would be 5%. This 5% is the excess return over what was predicted in the CAPM model.

Portable Alpha

What does it Mean?
The strategy of portfolio managers separating alpha from beta by investing in securities that differ from the market index from which their beta is derived. Alpha is the return achieved over and above the return that results from the correlation between the portfolio and the market (beta). In simple terms, this is a strategy that involves investing in areas that have little to no correlation with the market.

Investopedia Says...
Portfolio return is based on two aspects. The first is beta, which is the extent to which an investment vehicle moves with the market, and can be said to represent the passive returns (their increase in value along with the overall market). The second is alpha, which is a measure of a manager's ability to generate returns by choosing stocks or other investments that will outperform the market in a given time period, and can be said to represent the returns generated by active-management techniques. If a portfolio manager can improve alpha by investing in securities that are not correlated with the beta of an existing portfolio, that manager will have created a portable alpha.

Beta

What does it Mean?
A measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole.

Also known as "beta coefficient".

Beta is calculated using regression analysis, and you can think of beta as the tendency of a security's returns to respond to swings in the market. A beta of 1 indicates that the security's price will move with the market. A beta of less than 1 means that the security will be less volatile than the market. A beta of greater than 1 indicates that the security's price will be more volatile than the market. For example, if a stock's beta is 1.2, it's theoretically 20% more volatile than the market.

Many utilities stocks have a beta of less than 1. Conversely, most high-tech Nasdaq-based stocks have a beta of greater than 1, offering the possibility of a higher rate of return, but also posing more risk.

Zero-Beta Portfolio

What does it Mean?
A portfolio constructed to have zero systematic risk or, in other words, a beta of zero.

Investopedia Says...
Such a portfolio would have the same expected return as the risk-free rate.

High Beta Index

What does it Mean?
An index composed of companies with high betas trading on the NYSE... kalau di sini ya JKSE.

Investopedia Says...
Beta is a measure of a stock's volatility in relation to the market as a whole, and the high beta index takes account of those stocks considered to have higher volatilities.

R-Squared

What does it Mean?
A statistical measure that represents the percentage of a fund or security's movements that can be explained by movements in a benchmark index. For fixed-income securities, the benchmark is the T-bill. For equities, the benchmark is the S&P 500.

Investopedia Says...
R-squared values range from 0 to 100. An R-squared of 100 means that all movements of a security are completely explained by movements in the index. A high R-squared (between 85 and 100) indicates the fund's performance patterns have been in line with the index. A fund with a low R-squared (70 or less) doesn't act much like the index. A higher R-squared value will indicate a more useful beta figure. For example, if a fund has an R-squared value of close to 100 but has a beta below 1, it is most likely offering higher risk-adjusted returns. A low R-squared means you should ignore the beta.
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Silahkan disimpulan bagaimana cara penggunaan data Alpha, Beta dan R-Squared dalam trading atau investing Anda... dan kalau ribet atau bikin susah hidup saja, apalagi worthless... sebaiknya ditinggalkan... cari metode lain yang Anda lebih nyaman menggunakannya.

Berikut akan saya posting tabel beta indeks dunia, indeks sektoral, dan beta saham terhadap JKSE. Mudah-mudahan angka-angka pada tabel tersebut tidak meyakinkan sehingga mendorong pembaca untuk menghitung sendiri... siapa tau angka-angka dalam tabelnya salah ?

Jangan begitu saja percaya... selalu always recek dan belajar dari berbagai sumber.

Insya Allah bermanfaat.
Eco Syariah