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Jensen's alpha

Return in excess of what an asset's beta exposure alone would have delivered, which is what is left after paying for market risk.

Alpha = actual return minus [risk-free rate + beta x (benchmark return minus risk-free rate)]. It asks whether you beat the return your market exposure was already entitled to.

Worked: your book returns 18%, the index returns 12%, the risk-free rate is 4%, and your portfolio-beta is 1.4. Expected return = 4 + 1.4 x (12 - 4) = 15.2%. Alpha = 18 - 15.2 = 2.8%. The headline six-point outperformance shrinks to under three once leverage-by-beta is charged for, which is exactly the adjustment most performance claims skip.

Be sceptical of small positive alphas. They are highly sensitive to the chosen benchmark, the beta estimate and the period, and they vanish under costs more often than not. Alpha computed over fewer than three years of monthly data is a number, not evidence.

Related: beta, benchmark, information-ratio, risk-adjusted-return

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