| DIS Stock | | | USD 115.65 0.93 0.81% |
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Walt Disney has current Jensen Alpha of 0.3066. Jensen alpha is a measure of the returns that are attributable to the managers' ability to select security and time the market. In other words, it is the returns remaining after deducting what would have been attributable to beta returns (which do not require skill) and the risk-freerate.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.3066 | |
| ER[a] | = | Expected return on investing in Disney |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Disney and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Disney Jensen Alpha Peers Comparison
Disney Jensen Alpha Relative To Other Indicators
Walt Disney is rated
# 3 in jensen alpha category among its peers. It is currently under evaluation in downside variance category among its peers reporting about
3.91 of Downside Variance per Jensen Alpha. The ratio of Downside Variance to Jensen Alpha for Walt Disney is roughly
3.91 Jensen alpha is the difference between the return of the portfolio, and what the portfolio should theoretically have earned. Any portfolio can be expected to earn the risk-free rate (RF), plus the market risk premium (which is given by [Beta x (Market Portfolio Return - Risk-Free Rate)]. Anything remaining over and above is alpha.
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