T Rowe Jensen Alpha
| TCAF ETF | | | 40.01 -0.15 -0.37% |
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 T Rowe's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
At 0.0965, T Rowe's Jensen Alpha indicates positive alpha — return above what market exposure alone would predict. T Rowe has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.0965 | |
| ER[a] | = | Expected return on investing in T Rowe |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between T Rowe and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
T Rowe's Jensen Alpha of 0.0965 falls below the 0.12 peer average. Values range from -0.027 (First Trust Morningstar) to 0.5249 (iShares MSCI Taiwan), with wide dispersion across the group. T Rowe 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 T Rowe 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.
T Rowe records a Jensen Alpha of
0.10 and a Maximum Drawdown of
3.67 , yielding roughly
38.01 units of Maximum Drawdown per Jensen Alpha. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for T Rowe.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for T Rowe is 0.0965. Jensen Alpha for T Rowe is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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