|AA -- USA Stock|| |
USD 23.37 0.20 0.86%
Alcoa jensen-alpha technical analysis lookup allows you to check this and other technical indicators for Alcoa Corporation or any other equities. You can select from a set of available technical 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
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Alcoa Corporation has current Jensen Alpha of (0.34)
. 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] - RFR * (1-BETA)
BETA * ER[b])
| = |
|ER[a]|| = || Expected return on investing in Alcoa|
|ER[b]|| = || Expected return on market index or selected benchmark|
|BETA|| = || Beta coefficient between Alcoa and the market|
|RFR|| = || Risk Free Rate of return. Typically T-Bill Rate|
Jensen Alpha Comparison
Alcoa Corporation is rated below average
in jensen alpha category among related companies. It is rated below average
in maximum drawdown category among related companies .
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.