| ISCG Etf | | | USD 54.03 0.30 0.56% |
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iShares Morningstar Small Cap has current Jensen Alpha of 0.0206. 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]) |
| = | 0.0206 | |
| ER[a] | = | Expected return on investing in IShares Morningstar |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between IShares Morningstar and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
IShares Morningstar Jensen Alpha Peers Comparison
IShares Jensen Alpha Relative To Other Indicators
iShares Morningstar Small Cap is considered the top ETF in jensen alpha as compared to similar ETFs. It is currently under evaluation in semi variance as compared to similar ETFs fabricating about
32.97 of Semi Variance per Jensen Alpha. The ratio of Semi Variance to Jensen Alpha for iShares Morningstar Small Cap is roughly
32.97 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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