Eaton PLC Jensen Alpha
| ETN Stock | | | USD 423.92 -0.58 -0.14% |
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 Eaton PLC's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
A Jensen Alpha of 0.3635 for Eaton PLC signals positive alpha — return above what market exposure alone would predict. Eaton PLC has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.3635 | |
| ER[a] | = | Expected return on investing in Eaton PLC |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Eaton PLC and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Eaton PLC's Jensen Alpha of 0.3635 falls above the 0.05 peer average. Values range from -0.1861 (Lockheed Martin) to 0.2505 (Union Pacific), with wide dispersion across the group. Eaton PLC 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 Eaton PLC 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.
Eaton PLC shows nearly
30.78 of Maximum Drawdown per unit of Jensen Alpha (
0.36 versus
11.19 ). This indicates Maximum Drawdown substantially exceeds Jensen Alpha for Eaton PLC.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for Eaton PLC is 0.3635. Jensen Alpha for Eaton PLC is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Eaton PLC operates in the industrials sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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