IShares MSCI Jensen Alpha
| THD ETF | | | USD 71.76 0.56 0.79% |
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 IShares MSCI's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
The current Jensen Alpha of 0.1823 places IShares MSCI at positive alpha — return above what market exposure alone would predict. IShares MSCI has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.1823 | |
| ER[a] | = | Expected return on investing in IShares MSCI |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between IShares MSCI and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
IShares MSCI falls above the 0.12 peer average for Jensen Alpha. Franklin FTSE South leads at 0.7455 while iShares Global Timber registers the lowest at -0.1753. IShares MSCI 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 IShares MSCI 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
0.18 and Maximum Drawdown at
9.14 , IShares MSCI shows a
50.14 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for IShares MSCI.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for IShares MSCI is 0.1823. IShares MSCI's Jensen Alpha is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
Other Technical Indicators