ALPS ETF Jensen Alpha
| OUSM ETF | | | USD 46.85 -0.02 -0.04% |
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 ALPS ETF's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
The current Jensen Alpha of 0.036 places ALPS ETF at positive alpha — return above what market exposure alone would predict. ALPS ETF has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.036 | |
| ER[a] | = | Expected return on investing in ALPS ETF |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between ALPS ETF and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
ALPS ETF falls below the 0.06 peer average for Jensen Alpha. iShares Asia 50 leads at 0.2423 while Direxion Daily FTSE registers the lowest at -0.3216. ALPS ETF 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 ALPS ETF 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.
ALPS ETF shows nearly
97.56 of Maximum Drawdown per unit of Jensen Alpha (
0.04 versus
3.51 ). This indicates Maximum Drawdown substantially exceeds Jensen Alpha for ALPS ETF.
Methodology, Assumptions & Data Sources
ALPS ETF's Jensen Alpha currently stands at 0.036. This Jensen Alpha reading for ALPS ETF results from applying the indicator's calculation rules to price and volume data over the selected window. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for 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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