WisdomTree Dynamic Jensen Alpha
| DDLS ETF | | | USD 45.78 0.01 0.02% |
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 WisdomTree Dynamic's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
WisdomTree Dynamic has a Jensen Alpha of 0.0231, indicating positive alpha — return above what market exposure alone would predict. WisdomTree Dynamic has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.0231 | |
| ER[a] | = | Expected return on investing in WisdomTree Dynamic |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between WisdomTree Dynamic and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Relative to peers, WisdomTree Dynamic's Jensen Alpha is below the group average of 0.04. Peer readings range from -0.1068 (Invesco KBW Property) to 0.1966 (iShares MSCI Israel), reflecting wide dispersion across the sector. WisdomTree Dynamic 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 WisdomTree Dynamic 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.
Comparing Jensen Alpha (
0.02 ) to Maximum Drawdown (
4.96 ) for WisdomTree Dynamic yields a
214.56 multiple. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for WisdomTree Dynamic.
Methodology, Assumptions & Data Sources
WisdomTree Dynamic's Jensen Alpha currently stands at 0.0231. The Jensen Alpha for WisdomTree Dynamic is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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