First Trust Jensen Alpha
| XPND ETF | | | USD 38.42 0.44 1.16% |
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 First Trust's current Jensen Alpha with peer comparisons and related risk metrics.
Current Jensen Alpha Value
First Trust carries a Jensen Alpha of 0.1923, consistent with positive alpha — return above what market exposure alone would predict. First Trust has generated modest excess return beyond what its systematic risk exposure explains.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.1923 | |
| ER[a] | = | Expected return on investing in First Trust |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between First Trust and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Jensen Alpha Peers Comparison
First Trust falls below the 0.26 peer average for Jensen Alpha. Amplify Bloomberg AI leads at 0.6156 while Innovator Premium Income registers the lowest at 0.0284. First Trust 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 First Trust 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
0.19 and Maximum Drawdown at
6.38 , First Trust shows a
33.17 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Jensen Alpha for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Jensen Alpha currently stands at 0.1923. This Jensen Alpha reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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