Wheat Futures Jensen Alpha

KEUSX Commodity   605.50  4.00  0.66%   
Wheat Futures jensen-alpha technical analysis lookup allows you to check this and other technical indicators for Wheat Futures or any other equities. You can select from a set of available technical indicators by clicking on the link to the right. Please note, not all equities are covered by this module due to inconsistencies in global equity categorizations and data normalization technicques. Please check also Equity Screeners to view more equity screening tools
  
Wheat Futures has current Jensen Alpha of 0.0966. 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])

 = 
0.0966
ER[a] = Expected return on investing in Wheat Futures
ER[b] = Expected return on market index or selected benchmark
BETA = Beta coefficient between Wheat Futures and the market
RFR = Risk Free Rate of return. Typically T-Bill Rate

Wheat Futures Jensen Alpha Peers Comparison

Wheat Jensen Alpha Relative To Other Indicators

Wheat Futures cannot be rated in Jensen Alpha category at this point. It cannot be rated in Maximum Drawdown category at this point. reporting about  80.75  of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Wheat Futures is roughly  80.75 
JavaScript chart by amCharts 3.21.15NGUSDZSUSXALIUSDPLUSDZTUSDCLUSDKEUSX 0510152025 00.10.20.30.40.50.6
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.
Compare Wheat Futures to Peers

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