ITT Jensen Alpha
| ITT Stock | | | USD 206.15 -1.64 -0.79% |
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 ITT's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
A Jensen Alpha of 0.1853 for ITT signals positive alpha — return above what market exposure alone would predict. ITT has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.1853 | |
| ER[a] | = | Expected return on investing in ITT |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between ITT and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
ITT's Jensen Alpha of 0.1853 falls above the 0.0 peer average. Values range from -0.317 (Donaldson) to 0.701 (Generac Holdings), with tight clustering across the group. ITT 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 ITT 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 (
0.19 ) to Maximum Drawdown (
13.21 ) for ITT yields a
71.30 multiple. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for ITT.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for ITT is 0.1853. Jensen Alpha for ITT is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. ITT operates in the industrials sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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