Global X Jensen Alpha
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 Global X's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
At 0.3314, Global X exhibits positive alpha — return above what market exposure alone would predict in Jensen Alpha. Global X has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.3314 | |
| ER[a] | = | Expected return on investing in Global X |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Global X and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Among sector peers, Global X's Jensen Alpha of 0.3314 is above the 0.1 group average. The range runs from -0.0071 (Tidal ETF Trust) to 0.3146 (ProShares UltraPro MidCap400). Global X 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 Global X 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.
Global X shows nearly
25.49 of Maximum Drawdown per unit of Jensen Alpha (
0.33 versus
8.45 ). This indicates Maximum Drawdown substantially exceeds Jensen Alpha for Global X.
Methodology, Assumptions & Data Sources
Global X's Jensen Alpha currently stands at 0.3314. This Jensen Alpha reading for Global X results from applying the indicator's calculation rules to price and volume data over the selected window. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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