Jensen's Index

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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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References in periodicals archive ?

In what returns adjusted to risk is concerned, they used the Sharpe Index (IS), the Treynor Index (T), the M2 Index, Jensen's Alpha (a) and the Sortino Index (S).

Testing the efficiency-CAPM joint hypothesis in the bovespa/Analise da hipotese conjunta da eficiencia do CAPM na BOVESPA/Analisis de la hipotesis conjunta eficiencia-CAPM em el BOVESPA

ratios of: Sharpe, Treynor, Jensen (Jensen's alpha), Sortino, Sharpe-Israelsen, Omega, potential excess return (UPR) and information (IR).

DEGREE OF CONVERGENCE OF THE EFFICIENCY OF THE POLISH EQUITY INVESTMENT FUNDS OBTAINED WITH MEASURES BASED ON THE SHARPE RATIO

(iii) Jensen's alpha: the buy-and-hold abnormal returns are obtained using the capital asset pricing model (CAPM).

The Performance of Reverse Leveraged Buyouts: Another Look

The results are valid both for excess average return and for the Jensen's alpha and the Sharpe ratio.

Predictive power of Brazilian equity fund performance using [R.sup.2] as a measure of selectivity

One would think that Jensen's research debunking the myth of consistently outperforming fund managers (measured by alpha, also known as Jensen's alpha) would strike a blow in the remarkably efficient marketplace for actively managed mutual funds.

The rise of evidence-based investing: the scientific evidence points to where advisors can provide significant value to clients--not in short-term stock picking but in helping them achieve long-term goals

In order to achieve this it uses Jensen's alpha to identify stocks that provide higher actual returns compared to their expected returns when considering systematic risk as derived by the capital asset pricing model.

Buying high return low volatility technology stocks

This relationship is maintained using different measures of performance (raw return and Jensen's Alpha) as shown by Sirri and Tufano (1998), Fant and O'Neal (2000) and Del Guercio and Tkac (2002), and its level of convexity is higher in smaller, younger mutual funds that demonstrate higher participation costs, according to Chevalier and Ellison (1997), Goriaev et al.

Determinantes de los flujos monetarios en los planes de pensiones

Earlier studies of fund performance evaluation are started with the models based on Jensen's alpha (i.e., Jensen 1968), and are then extended by adding more variables as explanatory factors (i.e., Carhart 1997) to improve the models.

The efficiency evaluation of mutual fund managers based on Dara, Cara, Iara

Point estimates of Jensen's alpha provide some evidence of superior returns, although none of the individual point estimates is statistically significant at the 5% level.

Returns to investors in stocks in new industries

These composite portfolio performance measures are the Sharpe ratio, the Treynor ratio, the Jensen's alpha measure, and the information ratio.

Are Philippine fixed income fund managers generating alpha for their clients?

The latter use either Jensen's alpha as a single output or both the Sharpe ratio and Jensen's alpha as outputs and some ETFs characteristics as inputs.

Natural resources exchange traded funds: performance appraisal using DEA modeling

Redman, Gullett and Manakyan (2000) examined the risk-adjusted returns using Sharpe's Index, Treynor's Index, and Jensen's Alpha for five portfolios of international mutual funds and for three time periods: 1985-1994, 1985-1989, and 1990-1994.