Avantis International Jensen Alpha
| AVDE ETF | | | USD 91.32 2.09 2.34% |
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 Avantis International's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
The Jensen Alpha of 0.0707 for Avantis International indicates positive alpha — return above what market exposure alone would predict. Avantis International has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.0707 | |
| ER[a] | = | Expected return on investing in Avantis International |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Avantis International and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Among sector peers, Avantis International's Jensen Alpha of 0.0707 is above the 0.07 group average. The range runs from 0.0303 (Dimensional International Core) to 0.1493 (Vanguard Energy Index). Avantis International 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 Avantis International 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.
With Jensen Alpha at
0.07 and Maximum Drawdown at
5.67 , Avantis International shows a
80.27 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for Avantis International.
Methodology, Assumptions & Data Sources
Avantis International has a current Jensen Alpha reading of 0.0707. The Jensen Alpha for Avantis International is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. 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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