Consumer Staples Jensen Alpha
| XLP ETF | | | USD 83.37 -0.81 -0.96% |
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 Consumer Staples's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
The current Jensen Alpha of
-0.05 places Consumer Staples at slightly negative alpha — return marginally below the CAPM-predicted level. Consumer Staples has slightly underperformed relative to what its market beta would imply.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | -0.05 | |
| ER[a] | = | Expected return on investing in Consumer Staples |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Consumer Staples and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
Consumer Staples falls below the 0.04 peer average for Jensen Alpha. iShares Russell 2000 leads at 0.1659 while Vanguard Health Care registers the lowest at -0.1112. Consumer Staples 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 Consumer Staples 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.
Compare Consumer Staples to PeersMethodology, Assumptions & Data Sources
Consumer Staples' Jensen Alpha currently stands at -0.05. The Jensen Alpha for Consumer Staples is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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