PennantPark Floating Jensen Alpha
| PFLT Stock | | | USD 8.92 -0.05 -0.56% |
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 PennantPark Floating's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
PennantPark Floating's Jensen Alpha of
-0.03 reflects slightly negative alpha — return marginally below the CAPM-predicted level. PennantPark Floating has slightly underperformed relative to what its market beta would imply.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | -0.03 | |
| ER[a] | = | Expected return on investing in PennantPark Floating |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between PennantPark Floating and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Relative to peers, PennantPark Floating's Jensen Alpha is below the group average of 0.33. Peer readings range from -0.1147 (SLR Investment Corp) to 2.7 (Gladstone Investment), reflecting wide dispersion across the sector. PennantPark Floating 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 PennantPark Floating 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.
Compare PennantPark Floating to PeersMethodology, Assumptions & Data Sources
The current Jensen Alpha for PennantPark Floating is -0.03. This Jensen Alpha reading for PennantPark Floating results from applying the indicator's calculation rules to price and volume data over the selected window. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. PennantPark Floating operates in the financial services sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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