Bank of New York Jensen Alpha
| BK Stock | | | CAD 15.13 0.06 0.40% |
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 Bank of New York's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
At 0.0954, Bank of New York's Jensen Alpha indicates positive alpha — return above what market exposure alone would predict. Bank of New York has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.0954 | |
| ER[a] | = | Expected return on investing in Bank of New York |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Bank of New York and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Relative to peers, Bank of New York's Jensen Alpha is above the group average of 0.07. Peer readings range from -0.0374 (Fiera Capital) to 0.2581 (Life Banc Split), reflecting wide dispersion across the sector. Bank of New York 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 Bank of New York 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.
Bank of New York shows nearly
90.56 of Maximum Drawdown per unit of Jensen Alpha (
0.10 versus
8.64 ). This indicates Maximum Drawdown substantially exceeds Jensen Alpha for Bank of New York.
Methodology, Assumptions & Data Sources
Bank of New York has a current Jensen Alpha reading of 0.0954. Bank of New York'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. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Bank of New York operates in the financial services sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
Other Technical Indicators