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Investments glossary

Jensen’s Measure


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Quotes of the day:

All that is gold does not glitter; not all those that wander are lost.

— J. R. R. Tolkien, The Fellowship of the Ring, 1954

The Jensen’s measure, or Jensen’s alpha, is a risk-adjusted performance measure that represents the average return on a portfolio or investment, above or below that predicted by the capital asset pricing model (CAPM), given the portfolio’s or investment’s beta and the average market return. This metric is also commonly referred to as simply alpha.

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