IShares Consumer Jensen Alpha
| IYK ETF | | | USD 71.08 -0.36 -0.50% |
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 Consumer's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
IShares Consumer registers a Jensen Alpha of
-0.07, reflecting slightly negative alpha — return marginally below the CAPM-predicted level. IShares Consumer has slightly underperformed relative to what its market beta would imply.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | -0.07 | |
| ER[a] | = | Expected return on investing in IShares Consumer |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between IShares Consumer and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
The peer group averages 0.07 for Jensen Alpha, with IShares Consumer at -0.0684 falling below that level. Readings span -0.0406 (iShares MSCI Switzerland) to 0.1683 (Global X Russell). IShares Consumer has generated less 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 Consumer 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.
Compare IShares Consumer to PeersMethodology, Assumptions & Data Sources
IShares Consumer's Jensen Alpha currently stands at -0.07. The Jensen Alpha for IShares Consumer is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other 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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