Search results
Results from the WOW.Com Content Network
In finance, Jensen's alpha [1] (or Jensen's Performance Index, ex-post alpha) is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return. It is a version of the standard alpha based on a theoretical performance instead of a market index .
Jensen's formula can be used to estimate the number of zeros of an analytic function in a circle. Namely, if is a function analytic in a disk of radius centered at and if | | is bounded by on the boundary of that disk, then the number of zeros of in a circle of radius < centered at the same point does not exceed
The information ratio is often annualized. While it is then common for the numerator to be calculated as the arithmetic difference between the annualized portfolio return and the annualized benchmark return, this is an approximation because the annualization of an arithmetic difference between terms is not the arithmetic difference of the annualized terms. [6]
Also known as the Jensen's Performance Index, it measures the return of an investment compared to its expected risk-adjusted return. 3 Funds With High Alpha for Above Average Returns Skip to main ...
For premium support please call: 800-290-4726 more ways to reach us
In finance, the Treynor reward-to-volatility model (sometimes called the reward-to-volatility ratio or Treynor measure [1]), named after American economist Jack L. Treynor, [2] is a measurement of the returns earned in excess of that which could have been earned on an investment that has no risk that can be diversified (e.g., Treasury bills or a completely diversified portfolio), per unit of ...
Get AOL Mail for FREE! Manage your email like never before with travel, photo & document views. Personalize your inbox with themes & tabs. You've Got Mail!
He developed a method of measuring fund manager performance, the so-called Jensen's alpha. [10] Based upon his 1968 University of Chicago Ph.D. dissertation, Jensen posited that fund manager abnormal performance should be based upon a fund's average return relative to how much risk it exposed investors to, and how other risky assets had done.