DFA REAL Jensen Alpha
| DFREX Fund | | | USD 44.89 0.17 0.38% |
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 DFA REAL's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
With Jensen Alpha at 0.1354, DFA REAL shows positive alpha — return above what market exposure alone would predict. DFA REAL has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.1354 | |
| ER[a] | = | Expected return on investing in DFA REAL |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between DFA REAL and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
The peer group averages 0.11 for Jensen Alpha, with DFA REAL at 0.1354 falling above that level. Readings span -0.0357 (Franklin Mutual Shares) to 0.4348 (BlackRock Science Technology). DFA REAL 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 Dfa Real 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.
DFA REAL's Maximum Drawdown of
4.75 runs about
35.05 times its Jensen Alpha of
0.14 . This indicates Maximum Drawdown substantially exceeds Jensen Alpha for DFA REAL.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for DFA REAL is 0.1354. DFA REAL'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. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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