Korea Environment Jensen Alpha

029960 Stock  KRW 9,020  20.00  0.22%   
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Korea Environment Technology has current Jensen Alpha of 0.3323. 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])

 = 
0.3323
ER[a] = Expected return on investing in Korea Environment
ER[b] = Expected return on market index or selected benchmark
BETA = Beta coefficient between Korea Environment and the market
RFR = Risk Free Rate of return. Typically T-Bill Rate

Korea Environment Jensen Alpha Peers Comparison

Korea Jensen Alpha Relative To Other Indicators

Korea Environment Technology is rated third in jensen alpha category among its peers. It is currently under evaluation in maximum drawdown category among its peers reporting about  54.56  of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Korea Environment Technology is roughly  54.56 
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 Korea Environment to Peers

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