| MOON Etf | | | USD 10.33 0.16 1.53% |
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Direxion has current Jensen Alpha of 0.1921. 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]) |
| = | 0.1921 | |
| ER[a] | = | Expected return on investing in Direxion |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Direxion and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Direxion Jensen Alpha Peers Comparison
Direxion Jensen Alpha Relative To Other Indicators
Direxion is rated number one ETF in jensen alpha as compared to similar ETFs. It is currently under evaluation in maximum drawdown as compared to similar ETFs reporting about
46.46 of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Direxion is roughly
46.46 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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