Elbit Systems Jensen Alpha
| ESLT Stock | | | USD 794.96 -35.13 -4.23% |
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 Elbit Systems's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
Elbit Systems carries a Jensen Alpha of 0.1955, consistent with positive alpha — return above what market exposure alone would predict. Elbit Systems has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.1955 | |
| ER[a] | = | Expected return on investing in Elbit Systems |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Elbit Systems and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
The peer group averages 0.01 for Jensen Alpha, with Elbit Systems at 0.1955 falling above that level. Readings span -0.5778 (AeroVironment) to 0.5368 (nVent Electric PLC). Elbit Systems 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 Elbit Systems 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 (
0.20 ) to Maximum Drawdown (
22.09 ) for Elbit Systems yields a
112.99 multiple. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for Elbit Systems.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for Elbit Systems is 0.1955. Elbit Systems' Jensen Alpha is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Elbit Systems operates in the industrials 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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