Chevron Jensen Alpha

CVX -- USA Stock  

USD 118.14  0.67  0.57%

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Chevron Corporation has current Jensen Alpha of 0.0749. Jensen alpha is a measure of the returns that are attributable to the managers ability to select security and time the market. In other words it is the returns remaining after deducting what would have been attributable to beta returns (which do not require skill) and the risk free rate.
Chevron 
Jensen Alpha 
 = 
ER[a] - RFR * (1-BETA) 
BETA * ER[b]) 
 = 
0.0749
ER[a] =   Expected return on investing in Chevron
ER[b] =   Expected return on market index or selected benchmark
BETA =   Beta coefficient between Chevron and the market
RFR =   Risk Free Rate of return. Typically T-Bill Rate

Jensen Alpha Comparison

Chevron Corporation is rated fourth in jensen alpha category among related companies. It is rated below average in maximum drawdown category among related companies reporting about  71.90  of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Chevron Corporation is roughly  71.90 
Jensen alpha is the difference between the return of the portfolio, and what the portfolio should theoretically have earned. Any portfolio can be expected to earn the risk free rate (RF), plus the market risk premium (which is given by [Beta x (Market Portfolio Return - Risk Free Rate)]. Anything remaining over and above is alpha.
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