Alphabet Jensen Alpha 
GOOG  USA Stock  USD 1,151 38.24 3.21% 
Symbol 
 =  0.263 
ER[a]  =  Expected return on investing in Alphabet 
ER[b]  =  Expected return on market index or selected benchmark 
BETA  =  Beta coefficient between Alphabet and the market 
RFR  =  Risk Free Rate of return. Typically TBill Rate 
Jensen Alpha Comparison
Alphabet is rated # 4 in jensen alpha category among related companies. It is rated # 5 in maximum drawdown category among related companies reporting about 53.00 of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Alphabet is roughly 53.00
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.Jensen Alpha  ...

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Risk Adjusted Performance  0.0779  
Market Risk Adjusted Performance  0.1281  
Mean Deviation  1.23  
Semi Deviation  1.41  
Downside Deviation  1.62  
Coefficient Of Variation  1354.76  
Standard Deviation  2.06  
Variance  4.24  
Information Ratio  0.1178  
Jensen Alpha  0.263  
Total Risk Alpha  0.3525  
Sortino Ratio  0.1501  
Treynor Ratio  0.1181  
Maximum Drawdown  13.94  
Value At Risk  (2.75)  
Potential Upside  1.92  
Downside Variance  2.61  
Semi Variance  1.98  
Expected Short fall  (1.38)  
Skewness  2.74  
Kurtosis  14.2 
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