NovaGold Resources Jensen Alpha
| NG Stock | | | CAD 12.30 1.48 13.68% |
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 NovaGold Resources's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
NovaGold Resources carries a Jensen Alpha of 0.2491, consistent with positive alpha — return above what market exposure alone would predict. NovaGold Resources has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.2491 | |
| ER[a] | = | Expected return on investing in NovaGold Resources |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between NovaGold Resources and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Among sector peers, NovaGold Resources's Jensen Alpha of 0.2491 is above the -0.03 group average. The range runs from -0.2731 (Westgold Resources Limited) to 0.0948 (Perseus Mining). NovaGold Resources 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 NovaGold Resources 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.
NovaGold Resources shows nearly
107.00 of Maximum Drawdown per unit of Jensen Alpha (
0.25 versus
26.65 ). This indicates Maximum Drawdown substantially exceeds Jensen Alpha for NovaGold Resources.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for NovaGold Resources is 0.2491. The Jensen Alpha for NovaGold Resources applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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