AmTrust Financial Jensen Alpha
| AFSIP Pink Sheet | | | USD 15.00 -0.31 -2.02% |
AmTrust Financial's Jensen Alpha is documented here with current readings, historical values, and peer-relative context. The reading's significance depends on context — the instrument's own range and sector norms. The pairing of
AmTrust Financial Volatility and
AmTrust Financial Price History broadens the analytical view on AmTrust Financial.
Current Jensen Alpha Value
AmTrust Financial has a Jensen Alpha of 0.0375, indicating positive alpha — return above what market exposure alone would predict. AmTrust Financial has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.0375 | |
| ER[a] | = | Expected return on investing in AmTrust Financial |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between AmTrust Financial and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
AmTrust Financial's Jensen Alpha of 0.0375 falls above the 0.03 peer average. Values range from -0.1667 (Qulitas Controladora SAB) to 0.1408 (Man Group plc), with wide dispersion across the group. AmTrust Financial 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 AmTrust Financial 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.
AmTrust Financial's Jensen Alpha reads
0.04 while Maximum Drawdown reads
13.36 , a
356.27 ratio between the two. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for AmTrust Financial.
Methodology, Assumptions & Data Sources
AmTrust Financial has a current Jensen Alpha reading of 0.0375. AmTrust Financial's Jensen Alpha is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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