Jensen's Alpha

category: Risk-Adjusted Performance
formula: α = R_p - [R_f + β × (R_m - R_f)]
formula latex: \alpha = R_p - \big[R_f + \beta(R_m - R_f)\big]
related terms: jensens-alpha, capm, beta, alpha

Name: Jensen's Alpha
Author: Wall Street Wiki

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Excess return above CAPM expectation. Measures manager skill after adjusting for market beta.

Details

α = R_p - [R_f + β × (R_m - R_f)]