Portfolio Management doubt...
This query is : Resolved
09 August 2009
Hi all...
I encountered a very strange situation...
I took data for daily return of infosys and S&P CNX NIFTY for 240 trading days from august 2008 to july 2009 and i regressed them...
so i found beta=0.659 and alpha=0.101
(with r-square = 42.8%)
so annualized alpha = 240*0.101 = 24.24
now dis is huge... with beta less than 1..
implying Infosys was a wonderful stock during this period.. but we all know the state of Indian IT industry during this period and Infosys was not among the list of top stocks for most fund managers.... so how is such a high value of alpha possible... what is it indicating exactly...???
I encountered a very strange situation...
I took data for daily return of infosys and S&P CNX NIFTY for 240 trading days from august 2008 to july 2009 and i regressed them...
so i found beta=0.659 and alpha=0.101
(with r-square = 42.8%)
so annualized alpha = 240*0.101 = 24.24
now dis is huge... with beta less than 1..
implying Infosys was a wonderful stock during this period.. but we all know the state of Indian IT industry during this period and Infosys was not among the list of top stocks for most fund managers.... so how is such a high value of alpha possible... what is it indicating exactly...???
CA. Amit Daga
(Expert)
10 August 2009
Its showing market sentiments
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