The Macroaxis Technical Indicators lookup allows users to check a given indicator for any equity or select from a set of available indicators by clicking on the link to the right. Please note, not all equities are covered by this module due to inconsistencies in global equity categorizations and data normalization technicques. Please check also Equity Screeners to view more equity screening toolsThe Home Depot Inc has current Jensen Alpha of 0.1556. 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.
|ER[a]||=||Expected return on investing in Home Depot|
|ER[b]||=||Expected return on market index or selected benchmark|
|BETA||=||Beta coefficient between Home Depot and the market|
|RFR||=||Risk Free Rate of return. Typically T-Bill Rate|
Jensen Alpha Comparison
The Home Depot Inc is rated # 4 in jensen alpha category among related companies. It is rated below average in maximum drawdown category among related companies reporting about 16.28 of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for The Home Depot Inc is roughly 16.28
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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