Cemex SAB Jensen Alpha
| CX Stock | | | USD 13.11 -0.03 -0.23% |
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 Cemex SAB's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
Cemex SAB has a Jensen Alpha of 0.0841, indicating positive alpha — return above what market exposure alone would predict. Cemex SAB has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.0841 | |
| ER[a] | = | Expected return on investing in Cemex SAB |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Cemex SAB and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Relative to peers, Cemex SAB's Jensen Alpha is below the group average of 0.16. Peer readings range from -0.1739 (James Hardie Industries) to 0.5127 (LyondellBasell Industries NV), reflecting wide dispersion across the sector. Cemex SAB has generated less 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 Cemex SAB 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.
Cemex SAB's Maximum Drawdown of
10.95 runs about
130.24 times its Jensen Alpha of
0.08 . This indicates Maximum Drawdown substantially exceeds Jensen Alpha for Cemex SAB.
Methodology, Assumptions & Data Sources
Cemex SAB has a current Jensen Alpha reading of 0.0841. This Jensen Alpha reading for Cemex SAB results from applying the indicator's calculation rules to price and volume data over the selected window. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Cemex SAB operates in the basic materials 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.
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