Longstoch-ST alpha and beta

We continue with rolling alpha and betas, and examine results for Longstoch-ST:



Similar to what we noticed for Weekend Trader yesterday, alpha shows a steady decline from 0.18% per day over the first 100 trading days, to -0.10% for the most recent 100 days. Contrary to Weekend Trader, beta has not been increasing but was fairly stable, fluctuating between 0.46 and 0.81.

A test for a linear trend in alpha showed that alpha has been declining with 0.00133 percentage point per day, which is quite a bit steeper than Weekend Trader. The decline is almost significantly different from zero at the 90% confidence level (p = 0.119).