Jensen's Alpha
is this equation correct? : Intercept – Rf (1- Beta) = Jensen’s alpha.
or is the Jensen's Alpha the same as the intercept?
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abdelaallbayan, pure crickets, that's where I come in. Any of these useful?
If those topics were completely useless, don't blame me, blame my programmers...
Simply stated it is just the excess return of the portfolio above the predicted CAPM return.
No clue, but I found the answer in about five seconds from googling.
I believe that is correct. More simply you can regress the excess returns (returns - Rf) to find alpha. The equation you used makes the equivalent adjustment
It still needs to be adjusted for the market. It's arguable that even then the measure is insufficient depending on the portfolio's makeup as the market might not be the right proxy to measure against to understand if in fact one generated alpha.
Correct that the market may not be the best indicator. You definitely need to benchmark correctly. Either way if you regress the excess returns on the portfolio in question on the excess returns of what ever your benchmark portfolio is the intercept of that regression is alpha
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