PACE MORTGAGE-BACKED Jensen Alpha
| PFXAX Fund | | | USD 10.64 -0.01 -0.09% |
The Jensen Alpha lookup presents technical context for Pace Mortgage Backed Securities and related instruments. Some instruments may have limited coverage due to data differences;
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Pace Mortgage Backed Securities has current Jensen Alpha of 0.0392. Jensen alpha is a measure of the returns that are attributable to the managers' ability to select security and time the market. In other words, it is the returns remaining after deducting what would have been attributable to beta returns (which do not require skill) and the risk-freerate.
Jensen Alpha | = | ER[a] - RFR * (1-BETA) | - | BETA * ER[b]) |
| = | 0.0392 | |
| ER[a] | = | Expected return on investing in PACE MORTGAGE-BACKED |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between PACE MORTGAGE-BACKED and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
PACE MORTGAGE-BACKED Jensen Alpha Peers Comparison
PACE Jensen Alpha Relative To Other Indicators
Pace Mortgage Backed Securities is rated
third in jensen alpha among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
83.15 of Maximum Drawdown per Jensen Alpha. At
83.15 , Pace Mortgage Backed Securities's Maximum Drawdown-to-Jensen Alpha multiple reflects the spread between these metrics
Jensen alpha is the difference between the return of the portfolio, and what the portfolio should theoretically have earned. Any portfolio can be expected to earn the risk-free rate (RF), plus the market risk premium (which is given by [Beta x (Market Portfolio Return - Risk-Free Rate)]. Anything remaining over and above is alpha.
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