Glossary
Alpha
Return above what the market (beta) alone would explain — the part attributable to skill or a genuine edge. Our verdict: after cost and tax, the strategies produced no durable alpha.
In plain terms
Genuine alpha must survive three filters: it can't be explained by simply taking more market risk (beta), it must persist out-of-sample, and it must exceed its own trading costs and taxes. Most published 'alpha' fails the second or third filter.
That is the precise sense in which this project's verdict is negative: several signals were real before costs (gross), but the alpha left after turnover, spreads and tax rounded to zero or below.
Related terms
Educational definitions only. Not investment advice.