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  • Measuring Portfolio

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    indahtiara
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    Jensen's alpha measures a portfolio's excess return above or below what is expected based on its beta and market risk. It is calculated as the actual portfolio return minus the expected return predicted by the Capital Asset Pricing Model. A positive Jensen's alpha means the portfolio outperformed expectations, while a negative alpha means it underperformed after accounting for market risk. Jensen's alpha is used to evaluate how much a portfolio beat or trailed the market given the risk taken on.

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    Measuring Portfolio

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    Jensen's alpha measures a portfolio's excess return above or below what is expected based on its beta and market risk. It is calculated as the actual portfolio return minus the expected return predicted by the Capital Asset Pricing Model. A positive Jensen's alpha means the portfolio outperformed expectations, while a negative alpha means it underperformed after accounting for market risk. Jensen's alpha is used to evaluate how much a portfolio beat or trailed the market given the risk taken on.

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    © All Rights Reserved
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    5 views4 pages

    Measuring Portfolio

    Uploaded by

    indahtiara
    Jensen's alpha measures a portfolio's excess return above or below what is expected based on its beta and market risk. It is calculated as the actual portfolio return minus the expected return predicted by the Capital Asset Pricing Model. A positive Jensen's alpha means the portfolio outperformed expectations, while a negative alpha means it underperformed after accounting for market risk. Jensen's alpha is used to evaluate how much a portfolio beat or trailed the market given the risk taken on.

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    © All Rights Reserved
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    of 4

    MEASURING

    PORTFOLIO
    PERFORMANCE
    PRESENTED BY :
    Chindy Chresna Agung Bujana
    Ganda Frisno
    Indah Tiara Amiati
    ! "isnu #usuma
    Ren Adam A! Siregar
    Jensens Differential Return Measure
    13- 3
    Jensens Differential Return Measure
    Jensens Alpha

    Jensens alpha is the excess return above or


    below the security market line. t can be
    inter!rete" as a measure of how much the
    !ortfolio #beat the market.$

    t is com!ute" as the raw !ortfolio return less


    the ex!ecte" !ortfolio return as !re"icte" by the
    %&'M.
    Actual
    return
    CAPM Risk-Adjusted Predicted Return !E"tra#
    Return
    ( ) [ ] { } R R R R
    f M p f p p
    + =
    Jensens &l!ha

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