TOUCHSTONE INTERNATIONAL Jensen Alpha
| TOIIX Fund | | | USD 23.10 0.61 2.71% |
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 TOUCHSTONE INTERNATIONAL's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
A Jensen Alpha of 0.1246 for TOUCHSTONE INTERNATIONAL signals positive alpha — return above what market exposure alone would predict. TOUCHSTONE INTERNATIONAL has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.1246 | |
| ER[a] | = | Expected return on investing in TOUCHSTONE INTERNATIONAL |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between TOUCHSTONE INTERNATIONAL and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
The peer group averages 0.05 for Jensen Alpha, with TOUCHSTONE INTERNATIONAL at 0.1246 falling above that level. Readings span 0.0225 (Ab E Opportunities) to 0.1078 (L Abbett Growth). TOUCHSTONE INTERNATIONAL 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 Touchstone International 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.
TOUCHSTONE INTERNATIONAL's Maximum Drawdown of
6.26 runs about
50.21 times its Jensen Alpha of
0.12 . This indicates Maximum Drawdown substantially exceeds Jensen Alpha for TOUCHSTONE INTERNATIONAL.
Methodology, Assumptions & Data Sources
TOUCHSTONE INTERNATIONAL has a current Jensen Alpha reading of 0.1246. This Jensen Alpha reading for TOUCHSTONE INTERNATIONAL results from applying the indicator's calculation rules to price and volume data over the selected window. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. The output reflects the selected calculation window — changing the horizon will produce different readings. This fund metric is provided for analytical reference.
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