[R-SIG-Finance] Returns used to compute the alpha and the beta

[Benoit Schmid]

Good morning,

Brian G. Peterson wrote:
> Classic CAPM alpha will not change based on the periodicity, as it 
> measures the _portion_ of a set of returns that are not attributable 
> to the benchmark return, and should be calculated with the highest 
> regular periodicity available. Return.excess may calculate what you 
> are referring to as "alpha" if by alpha you mean returns over a 
> benchmark return, in which case you would first run Return.excess 
> using the benchmark return as the parameter 'rf' and then cumulate 
> your daily log returns to get a cumulative return over some other 
> periodicity (annual in your query).
If I look at the Jengsen alpha définition, it is a linear combination of 
return.
Therefore it is a return.
Therefore the daily Jengsen alpha is not equivalent as the yearly 
Jengsen alpha.
Am I right?
If not, what I am missing?

What you are explaining to me is that The alpha is not the jengsen alpha
because it "measures the _portion_ of a set of returns".
By portion, you mean that it is a ratio of returns and not an absolute 
return.
Am I right?

Thanks in advance for your answer.