Microsoft Jensen Alpha 
MSFT  USA Stock  USD 138.79 5.40 4.05% 
Symbol 
 =  0.1176 
ER[a]  =  Expected return on investing in Microsoft 
ER[b]  =  Expected return on market index or selected benchmark 
BETA  =  Beta coefficient between Microsoft and the market 
RFR  =  Risk Free Rate of return. Typically TBill Rate 
Jensen Alpha Comparison
Microsoft Corporation is regarded fifth in jensen alpha category among related companies. It is currently under evaluation in maximum drawdown category among related companies reporting about 51.04 of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Microsoft Corporation is roughly 51.04
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  0.009  
Market Risk Adjusted Performance  0.0089  
Mean Deviation  1.0  
Semi Deviation  1.49  
Downside Deviation  1.6  
Coefficient Of Variation  15921.9  
Standard Deviation  1.38  
Variance  1.9  
Information Ratio  0.0721  
Jensen Alpha  0.1176  
Total Risk Alpha  0.1393  
Sortino Ratio  0.0619  
Treynor Ratio  (0.001145)  
Maximum Drawdown  6.0  
Value At Risk  (3.19)  
Potential Upside  1.88  
Downside Variance  2.57  
Semi Variance  2.21  
Expected Short fall  (1.06)  
Skewness  (0.80)  
Kurtosis  0.9682 
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