Niklaus

Sector Alpha

304 vues
20
304 3
Excess Return by US Sector
Supprimer des scripts favoris Ajouter aux scripts favoris
study(title="Sector Alpha", shorttitle="Sector Alpha (%)")

//by Niklaus
////SHOWS US MARKET SECTORS EXCESS RETURNS
//Alpha is a measure of the active return on an investment, the performance of that investment compared to a suitable market index, in %
//alpha < 0: the investment has earned too little for its risk (or, was too risky for the return)
//alpha = 0: the investment has earned a return adequate for the risk taken
//alpha > 0: the investment has a return in excess of the reward for the assumed risk
//https://en.wikipedia.org/wiki/Alpha_(finance)

//Beta Calculation
sym = "SPY", res=period, src = close, length = input(title = "Beta Window", defval=300, minval=1)
ovr = security(sym, res, src)

sym2 = "XLF"
ovr2 = security(sym2, res, src)

sym3 = "XLK"
ovr3 = security(sym3, res, src)

sym4 = "XLI"
ovr4 = security(sym4, res, src)

sym5 = "XLB"
ovr5 = security(sym5, res, src)

sym6 = "XLV"
ovr6 = security(sym6, res, src)

sym7 = "XLU"
ovr7 = security(sym7, res, src)

sym8 = "XLE"
ovr8 = security(sym8, res, src)

sym9 = "XLP"
ovr9 = security(sym9, res, src)

sym10 = "XLY"
ovr10 = security(sym10, res, src)

//////////////////////////////////////////    FINANCIALS

retxlf = log(ovr2) - log(ovr2[1])
retb = log(ovr) - log(ovr[1])
secd = stdev(retxlf, length), mktd = stdev(retb, length)
Betaxlf = correlation(retxlf, retb, length) * secd / mktd

//Alpha Calculation
y = input(title="alpha period", type=integer, defval=90, minval=1, maxval=1000)
retxlf2 = log(ovr2) - log(ovr2[y])
retb2 = log(ovr) - log(ovr[y])
alphaxlf = retxlf2 - retb2*Betaxlf
plot(alphaxlf*100, color=green, style=line, transp=40, title='Fin')

//////////////////////////////////////////    TECHNOLOGY

retxlk = log(ovr3) - log(ovr3[1])
secdxlk = stdev(retxlk, length)
Betaxlk = correlation(retxlk, retb, length) * secdxlk / mktd

//Alpha Calculation

retxlk3 = log(ovr3) - log(ovr3[y])
alphaxlk = retxlk3 - retb2*Betaxlk
plot(alphaxlk*100, color=blue, style=line, transp=40, title='Tech')

//////////////////////////////////////////    INDUSTRIALS

retxli = log(ovr4) - log(ovr4[1])
secdxli = stdev(retxli, length)
Betaxli = correlation(retxli, retb, length) * secdxli / mktd

//Alpha Calculation

retxli3 = log(ovr4) - log(ovr4[y])
alphaxli = retxli3 - retb2*Betaxli
plot(alphaxli*100, color=aqua, style=line, transp=40, title='Indu')


//////////////////////////////////////////    MATERIALS

retxlb = log(ovr5) - log(ovr5[1])
secdxlb = stdev(retxlb, length)
Betaxlb = correlation(retxlb, retb, length) * secdxlb / mktd

//Alpha Calculation

retxlb2 = log(ovr5) - log(ovr5[y])
alphaxlb = retxlb2 - retb2*Betaxlb
plot(alphaxlb*100, color=gray, style=line, transp=0, title='Mats')

//////////////////////////////////////////    HEALTHCARE

retxlv = log(ovr6) - log(ovr6[1])
secdxlv = stdev(retxlv, length)
Betaxlv = correlation(retxlv, retb, length) * secdxlv / mktd

//Alpha Calculation

retxlv2 = log(ovr6) - log(ovr6[y])
alphaxlv = retxlv2 - retb2*Betaxlv
plot(alphaxlv*100, color=red, style=line, transp=40, title='HlthCare')


//////////////////////////////////////////    UTILITIES

retxlu = log(ovr7) - log(ovr7[1])
secdxlu = stdev(retxlu, length)
Betaxlu = correlation(retxlu, retb, length) * secdxlu / mktd

//Alpha Calculation

retxlu2 = log(ovr7) - log(ovr7[y])
alphaxlu = retxlu2 - retb2*Betaxlu
plot(alphaxlu*100, color=orange, style=line, transp=60, title='Utlt')

//////////////////////////////////////////    ENERGY

retxle = log(ovr8) - log(ovr8[1])
secdxle = stdev(retxle, length)
Betaxle = correlation(retxle, retb, length) * secdxle / mktd

//Alpha Calculation

retxle2 = log(ovr8) - log(ovr8[y])
alphaxle = retxle2 - retb2*Betaxle
plot(alphaxle*100, color=fuchsia, style=line, transp=40, title='Nrg')

//////////////////////////////////////////    CONSUMER STAPLES

retxlp = log(ovr9) - log(ovr9[1])
secdxlp = stdev(retxlp, length)
Betaxlp = correlation(retxlp, retb, length) * secdxlp / mktd

//Alpha Calculation

retxlp2 = log(ovr9) - log(ovr9[y])
alphaxlp = retxlp2 - retb2*Betaxlp
plot(alphaxlp*100, color=maroon, style=line, transp=40, title='Stpl')


//////////////////////////////////////////    CONSUMER DISCRETIONARY

retxly = log(ovr10) - log(ovr10[1])
secdxly = stdev(retxly, length)
Betaxly = correlation(retxly, retb, length) * secdxly / mktd

//Alpha Calculation

retxly2 = log(ovr10) - log(ovr10[y])
alphaxly = retxly2 - retb2*Betaxly
plot(alphaxly*100, color=olive, style=line, transp=10, linewidth=1, title='Disc')


hline(0, linewidth=1)

Sorry please help me in giving more details to understand your script.
Répondre
Niklaus ShastryAnanth
hi, the script shows, how many percent a sector outperforms/underperforms the S&P500 for the given timeframe (on a risk adjusted basis). You find the legend and color code in the settings. For further info, you may look up "capm", "alpha", "beta" on a search engine.
Répondre
Great, thanks!
Répondre
Accueil Filtre d'actions Filtre Forex Filtre Crypto Calendrier économique Shows Comment ça marche Caractéristiques du graphique Prix Règles de conduite Modérateurs Solutions site web & courtier Widgets Solutions de cartographie Bibliothèque de graphiques allégés Centre d'aide Parrainer un ami Demande de fonctionnalité Blog & News Questions Fréquentes Wiki Twitter
Profil Paramètres du Profil Compte et Facturation Parrainer un ami Mes tickets au support Centre d'aide Idées Publiées Suiveurs Suivi Messages privés dialogue en ligne Se Déconnecter