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Jensen's Index
(redirected from Jensen's alpha)

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Jensen's Index
A measure of the return on a portfolio over what the capital asset pricing model predicts, given the beta and market return on that portfolio. The index also adjusts for risk. It is also called Jensen's alpha or Jensen's measure. It is calculated as:

Jensen's Index = ((Portfolio's return - Risk-free return) + (Market return - Risk-free return)) * Beta
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The constant term or is Jensen's alpha and [[beta].
Local effects of foreign ownership in an emerging financial market: ... by Huang, Roger D.; Shiu, Cheng-Yi / Financial Management
We extend the literature by uniquely examining the persistence in performance of SRI screens, using both Jensen's alpha and conditional alphas.
The cost of being good by Anderson, Anne-Marie; Myers, David H. / Review of Business
Several studies have shown that Jensen's alpha is biased when portfolio managers follow dynamic strategies (among others Jensen, 1972; and Dybvig and Ross, 1985).
The persistence of European bond fund performance: does conditioning ... by Silva, Florinda; Cortez, Maria Ceu; Armada, Manuel Rocha / International Journal of Business
 
 
 
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