Invesco SAMPP Jensen Alpha
| PSCE ETF | | | USD 60.19 -0.15 -0.25% |
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 Invesco SAMPP's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
With Jensen Alpha at 0.2542, Invesco SAMPP shows positive alpha — return above what market exposure alone would predict. Invesco SAMPP has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.2542 | |
| ER[a] | = | Expected return on investing in Invesco SAMPP |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Invesco SAMPP and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Invesco SAMPP falls above the 0.1 peer average for Jensen Alpha. Matthews International Funds leads at 0.6842 while KraneShares Hang Seng registers the lowest at -0.0678. Invesco SAMPP 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 Invesco SAMPP 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.
With Jensen Alpha at
0.25 and Maximum Drawdown at
9.67 , Invesco SAMPP shows a
38.05 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for Invesco SAMPP.
Methodology, Assumptions & Data Sources
Invesco SAMPP has a current Jensen Alpha reading of 0.2542. The Jensen Alpha for Invesco SAMPP is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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