Jensen Index

Jensen Index
The Jensen index is an index that compares the performance of investment managers by allowing for portfolio risk.

Jensen index
Index that uses the capital asset pricing model to determine whether a money manager outperformed a market index. The alpha of an investment or investment manager. ...

Jensen Index
Financial & Investment Dictionary:
Jensen Index
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Jensen index An index that uses the capital pricing model to determine whether a outperformed a market index.
Joint clearing members Firms that clear on more than one exchange.

Alpha is also know as Jensen Index. Related: Risk adjusted return. Alpha equation Regression usually run over 36-60 months of data: Return-Treasury bill= alpha + beta (S&P 500 - Treasury bill) + error. The alpha is the intercept.

In a Jensen Index, it is factor to represent the portfolio's performance that diverges from its beta, representing a measure of the manager's performance.

Jeep See: Graduated payment mortgage Jensen index An index that uses the capital asset pricing model to determine whether a money manager outperformed a market index. The alpha of an investment or investment manager.

Jensen index An index that utilizes the capital asset pricing model (CAPM) in order to determine... Jersey Pound The currency of Jersey.

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(5) In the context of a Jensen index, alpha represents the performance of a portfolio that diverges from the portfolio's beta. In this context alpha can also be used as a measure of the portfolio manager's performance.

6% less than would have been predicted from the change in the market alone.
In a Jensen Index, it is factor to represent the portfolio's performance that diverges from its beta, representing a measure of the manager's performance.

0 (twice as risky as the S&P 500). The expected return given the risk is 2x9%=18%. The actual excess return is 20%. Hence, the alpha is 2% or 200 basis points. Alpha is also know as Jensen Index. Related: Risk adjusted return.

See also: Asset pricing model, Capital asset pricing model, Values, Financial risk, Expense