Ramp - Alpha

Then the daily alpha is: $$\alpha_i,t = R_i,t - E[R_i,t]$$

The from time $T_1$ to $T_2$: $$\textAlphaRamp(T_1, T_2) = \sum_t=T_1^T_2 \alpha_i,t$$ alpha ramp

For a portfolio of $N$ similar event stocks, the average alpha ramp is: $$\overline\alpha t = \frac1N\sum i=1^N \alpha_i,t$$ Then the daily alpha is: $$\alpha_i,t = R_i,t

$$E[R_i,t] = R_f,t + \beta_i,1F_1,t + ... + \beta_i,KF_K,t$$ Then the daily alpha is: $$\alpha_i