Hi, my question is about calculating Alpha for a portfolio at different periods MTD, QTD and YTD.
Given that Alpha for a single position = Realized Return - CAPM Expected Return = Realized Return - (Rf + Beta*(Rm - Rf) ).
In the case of a portfolio, Return = Sum (Weight(i) * Return(i) ), where i represents each single position in the portfolio.
Assuming that weights are going to change during the calculation period, Alpha calculation becomes tricky as to how to handle weights MTD, QTD, etc... I have seen a Long/Short hedge fund using the average of daily weights, and I am wondering if some of you have insights to share on how this is answered in the market.
Appreciate if you could share references I could review. Many thanks.