| 600030 Stock | | | 29.87 0.41 1.35% |
CITIC Securities jensen-alpha technical analysis lookup allows you to check this and other technical indicators for CITIC Securities Co 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
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CITIC Securities Co has current Jensen Alpha of 0.7322. 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]) |
| = | 0.7322 | |
| ER[a] | = | Expected return on investing in CITIC Securities |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between CITIC Securities and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
CITIC Securities Jensen Alpha Peers Comparison
CITIC Jensen Alpha Relative To Other Indicators
CITIC Securities Co is rated
second in jensen alpha category among its peers. It is currently under evaluation in maximum drawdown category among its peers reporting about
25.37 of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for CITIC Securities Co is roughly
25.37 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.
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