Is there a function, or way, in Excel to calculate a jensen alpha statistic?
Is there a function, or way, in Excel to calculate a jensen alpha statistic?
MPT Guy wrote...
>Is there a function, or way, in Excel to calculate a jensen alpha statistic?
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)
Six years late, but examine this spreadsheet for calculating Jensen's Alpha in Excel
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