Vanguard Total Jensen Alpha
| VTSAX Fund | | | USD 172.26 -0.67 -0.39% |
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 Total's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
Vanguard Total's Jensen Alpha of 0.0822 reflects positive alpha — return above what market exposure alone would predict. Vanguard Total has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.0822 | |
| ER[a] | = | Expected return on investing in Vanguard Total |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Vanguard Total and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Vanguard Total's Jensen Alpha of 0.0822 falls below the 0.09 peer average. Values range from 0.0547 (Vanguard Balanced Index) to 0.1152 (Vanguard Mid Cap Growth), with moderate dispersion across the group. Vanguard Total 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 Vanguard Total 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 Total's Maximum Drawdown of
3.85 runs about
46.87 times its Jensen Alpha of
0.08 . This indicates Maximum Drawdown substantially exceeds Jensen Alpha for Vanguard Total.
Methodology, Assumptions & Data Sources
Vanguard Total has a current Jensen Alpha reading of 0.0822. This Jensen Alpha reading for Vanguard Total results from applying the indicator's calculation rules to price and volume data over the selected window. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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