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And yet he leaks the returns of their private fund every year...
by rajacombinator 7y ago
And yet he leaks the returns of their private fund every year...
- sokoloff 7y agoThe returns of the fund alone don't tell you the level of edge (alpha) of RenTech. Alpha (the skill/edge component) is the excess return on a risk-adjusted basis. Roughly, alpha is total-return - risk-free-rate - porfolio-beta * (market-return - risk-free-rate). You can have a total return of 20%, a risk free rate of 3%, a Beta of 2, and a market return of 13% and you've actually underperformed the market on a risk-adjusted basis. Your alpha would be 20% - 3% - 2 * (13% - 3%) = -3%