IShares MSCI Jensen Alpha
| ACWI ETF | | | USD 155.38 1.45 0.94% |
Jensen Alpha measures the return attributable to active skill rather than passive market exposure. It is the residual return after subtracting the risk-free rate and the beta-adjusted market premium — the return the asset should have earned based solely on its systematic risk. Below is IShares MSCI's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
IShares MSCI carries a Jensen Alpha of 0.1256, consistent with positive alpha — return above what market exposure alone would predict. IShares MSCI has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.1256 | |
| ER[a] | = | Expected return on investing in IShares MSCI |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between IShares MSCI and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
The peer group averages 0.11 for Jensen Alpha, with IShares MSCI at 0.1256 falling above that level. Readings span -0.0111 (iShares MSCI USA) to 0.3741 (iShares Technology ETF). IShares MSCI has generated more excess return relative to its market exposure than the peer group average.
Jensen Alpha Relative To Other Indicators
The chart below plots Jensen Alpha against Maximum Drawdown for IShares MSCI and its peers. Each point represents one equity — position along the horizontal axis shows Jensen Alpha while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
At
0.13 for Jensen Alpha and
4.27 for Maximum Drawdown, IShares MSCI's cross-indicator ratio sits almost
33.98 . This indicates Maximum Drawdown substantially exceeds Jensen Alpha for IShares MSCI.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for IShares MSCI is 0.1256. This Jensen Alpha reading for IShares MSCI results from applying the indicator's calculation rules to price and volume data over the selected window. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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