Avantis Small Jensen Alpha
| AVSC ETF | | | USD 68.50 0.00 0.00% |
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 Small's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
A Jensen Alpha of 0.1034 for Avantis Small signals positive alpha — return above what market exposure alone would predict. Avantis Small has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.1034 | |
| ER[a] | = | Expected return on investing in Avantis Small |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Avantis Small and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Avantis Small's Jensen Alpha of 0.1034 falls above the 0.06 peer average. Values range from -0.0743 (iShares Financial Services) to 0.1891 (Invesco SAMPP SmallCap), with wide dispersion across the group. Avantis Small 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 Small 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
0.10 and Maximum Drawdown at
5.17 , Avantis Small shows a
49.96 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for Avantis Small.
Methodology, Assumptions & Data Sources
Avantis Small has a current Jensen Alpha reading of 0.1034. The Jensen Alpha for Avantis Small applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other 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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