Jensen's alpha and Outline of finance

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Difference between Jensen's alpha and Outline of finance

Jensen's alpha vs. Outline of finance

In finance, Jensen's alpha (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. The following outline is provided as an overview of and topical guide to finance: Finance – addresses the ways in which individuals and organizations raise and allocate monetary resources over time, taking into account the risks entailed in their projects.

Alpha (finance)

Alpha is a measure of the active return on an investment, the performance of that investment compared with a suitable market index.

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Beta (finance)

In finance, the beta (β or beta coefficient) of an investment indicates whether the investment is more or less volatile than the market as a whole.

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Capital asset pricing model

In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio.

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Efficient-market hypothesis

The efficient-market hypothesis (EMH) is a theory in financial economics that states that asset prices fully reflect all available information.

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Market portfolio

Market portfolio is a portfolio consisting of a weighted sum of every asset in the market, with weights in the proportions that they exist in the market, with the necessary assumption that these assets are infinitely divisible.

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Modigliani risk-adjusted performance

Modigliani risk-adjusted performance (also known as M2, M2, Modigliani–Modigliani measure or RAP) is a measure of the risk-adjusted returns of some investment portfolio.

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Mutual fund

A mutual fund is a professionally managed investment fund that pools money from many investors to purchase securities.

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Omega ratio

The Omega ratio is a risk-return performance measure of an investment asset, portfolio, or strategy.

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Portfolio (finance)

In finance, a portfolio is a collection of investments held by an investment company, hedge fund, financial institution or individual.

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Risk-free interest rate

The risk-free interest rate is the rate of return of a hypothetical investment with no risk of financial loss, over a given period of time.

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Sharpe ratio

In finance, the Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk.

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Sortino ratio

The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy.

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Treynor ratio

The Treynor ratio (sometimes called the reward-to-volatility ratio or Treynor measure), named after Jack L. Treynor, is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk (e.g., Treasury bills or a completely diversified portfolio), per each unit of market risk assumed.

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Upside potential ratio

The upside-potential ratio is a measure of a return of an investment asset relative to the minimal acceptable return.

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