Portfolio Analytics
Jensen's Alpha
Definition
What is Jensen's Alpha?
Return above that predicted by the Capital Asset Pricing Model for the portfolio's beta.
Example in practice
How This Looks in Practice
Positive Jensen's alpha indicates performance beyond the model's expected return.
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Related Terms
Portfolio Analytics
Correlation
A statistic ranging from minus one to plus one that describes how two return series move together.
Portfolio AnalyticsPositive Correlation
A relationship in which two assets tend to move in the same direction.
Portfolio AnalyticsNegative Correlation
A relationship in which two assets tend to move in opposite directions.
Risk ManagementStress Test
An analysis of portfolio performance under severe but plausible scenarios.