VANGUARD LARGE-CAP Jensen Alpha
| VLCAX Fund | | | USD 169.85 -0.65 -0.38% |
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 VANGUARD LARGE-CAP's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
At 0.1182, VANGUARD LARGE-CAP's Jensen Alpha indicates positive alpha — return above what market exposure alone would predict. VANGUARD LARGE-CAP has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.1182 | |
| ER[a] | = | Expected return on investing in VANGUARD LARGE-CAP |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between VANGUARD LARGE-CAP and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
The peer group averages 0.08 for Jensen Alpha, with VANGUARD LARGE-CAP at 0.1182 falling above that level. Readings span 0.0464 (Vanguard High Dividend) to 0.1172 (Vanguard Large Cap Index). VANGUARD LARGE-CAP 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 Vanguard Large 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.
VANGUARD LARGE-CAP's Maximum Drawdown of
3.72 runs about
31.49 times its Jensen Alpha of
0.12 . This indicates Maximum Drawdown substantially exceeds Jensen Alpha for VANGUARD LARGE-CAP.
Methodology, Assumptions & Data Sources
The current Jensen Alpha for VANGUARD LARGE-CAP is 0.1182. The Jensen Alpha for VANGUARD LARGE-CAP applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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