MAYBANK EMERGING Jensen Alpha
| MEM ETF | | | USD 44.95 1.58 3.64% |
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 MAYBANK EMERGING's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
At 0.2065, MAYBANK EMERGING exhibits positive alpha — return above what market exposure alone would predict in Jensen Alpha. MAYBANK EMERGING has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.2065 | |
| ER[a] | = | Expected return on investing in MAYBANK EMERGING |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between MAYBANK EMERGING and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Among sector peers, MAYBANK EMERGING's Jensen Alpha of 0.2065 is above the 0.09 group average. The range runs from -0.0434 (iShares MSCI United) to 0.2462 (Matthews International Funds). MAYBANK EMERGING 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 MAYBANK EMERGING 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.
MAYBANK EMERGING shows nearly
34.17 of Maximum Drawdown per unit of Jensen Alpha (
0.21 versus
7.06 ). This indicates Maximum Drawdown substantially exceeds Jensen Alpha for MAYBANK EMERGING.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for MAYBANK EMERGING is 0.2065. Jensen Alpha for MAYBANK EMERGING is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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