Invesco Diversified Jensen Alpha

DDFRX Fund  USD 19.05  0.28  1.49%   
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Invesco Diversified Dividend has current Jensen Alpha of 0.0087. 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-freerate.

Jensen Alpha

 = 

ER[a] - RFR * (1-BETA)

-

BETA * ER[b])

 = 
0.0087
ER[a] = Expected return on investing in Invesco Diversified
ER[b] = Expected return on market index or selected benchmark
BETA = Beta coefficient between Invesco Diversified and the market
RFR = Risk Free Rate of return. Typically T-Bill Rate

Invesco Diversified Jensen Alpha Peers Comparison

INVESCO Jensen Alpha Relative To Other Indicators

Invesco Diversified Dividend is rated # 4 fund in jensen alpha among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about  257.70  of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Invesco Diversified Dividend is roughly  257.70 
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.
Compare Invesco Diversified to Peers

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