Multiple linear regression (MLR) ... Each of these factors has its own influence on the stock price, and MLR helps calculate how much each one matters.

Figure 1: The results of multiple linear regression depend on the correlation of the predictors, as measured here by the Pearson correlation coefficient r (ref. 2). (a) ...

For concave strategies, the alpha calculated using linear regression will be lower. (Side note: concave strategies, i.e. those with a downcapture that is greater than the upcapture, can still be ...