IShares MSCI Jensen Alpha
| GLOF ETF | | | 58.40 0.93 1.62% |
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 IShares MSCI's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
At 0.0836, IShares MSCI's Jensen Alpha indicates positive alpha — return above what market exposure alone would predict. IShares MSCI has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.0836 | |
| ER[a] | = | Expected return on investing in IShares MSCI |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between IShares MSCI and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
IShares MSCI's Jensen Alpha of 0.0836 falls above the 0.01 peer average. Values range from -0.1498 (Global X Social) to 0.217 (Anfield Equity Sector), with wide dispersion across the group. IShares MSCI 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 IShares MSCI 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.
IShares MSCI records a Jensen Alpha of
0.08 and a Maximum Drawdown of
4.27 , yielding roughly
51.13 units of Maximum Drawdown per Jensen Alpha. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for IShares MSCI.
Methodology, Assumptions & Data Sources
IShares MSCI has a current Jensen Alpha reading of 0.0836. The Jensen Alpha for IShares MSCI applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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