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Alpha

Return that is not explained by a portfolio's exposure to its benchmark or to known risk factors. Positive alpha is the residual after paying for the risks you took.

Formally, alpha is the intercept from regressing your returns on one or more benchmark returns. If your fund made 14% while the market made 12% and your beta-estimation gives 1.1, the market explains 13.2% and your alpha is about 0.8% before costs.

That definition is deflating on purpose. A great deal of what looks like skill is leveraged beta-estimation, a short volatility profile, or a small-cap tilt. Regressing against the obvious factors before claiming alpha is basic hygiene.

Alpha is also not permanent. See alpha-decay: the more capital chases an effect, the smaller the residual becomes, and published effects tend to shrink by roughly half after publication.

Related: alpha-decay

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