H Harlan Grove Dec 7, 2005 #2 MPT Guy wrote... Is there a function, or way, in Excel to calculate a jensen alpha statistic? Click to expand... Sure. Given the following portfolio return (RP) market return (RM) risk-free return (RF) portfolio beta (BP) it's just =RP-RF-BP*(RM-RF)
MPT Guy wrote... Is there a function, or way, in Excel to calculate a jensen alpha statistic? Click to expand... Sure. Given the following portfolio return (RP) market return (RM) risk-free return (RF) portfolio beta (BP) it's just =RP-RF-BP*(RM-RF)
T tyrian Joined Jun 28, 2011 Messages 8 Reaction score 0 Dec 3, 2011 #3 You'll want to use the spreadsheet at http://investexcel.net/528/jensens-alpha-excel/ to calculate Jensen's Alpha measure (as well as the beta)
You'll want to use the spreadsheet at http://investexcel.net/528/jensens-alpha-excel/ to calculate Jensen's Alpha measure (as well as the beta)
