Term Glossary

Alpha

Alpha (ex-ante alpha) is a forecast of incremental return after adjusting for time value of money and systematic risk effects. Ex-ante alpha often is estimated as the intercept of an asset pricing model based regression using Single-Index Model $$\alpha_\text{ex-ante} = (E(r) - r_{f}) - E(r_{M} - r_f)$$

$r$
asset return
$E(r)$
asset expected return
$r_M$
market index (benchmark) return
$r_f$
risk-free return

An intraday version of ex-ante alpha could be reduced further by setting a risk-free rate equal to zero: $$\alpha_\text{ex-ante, intraday} = E(r) - E(r_M)$$

Ex ante alpha is the return attributable to the skill of the manager.

Function Reference
portfolio_alpha, position_alpha