VANGUARD INFLATION-PROTEC Jensen Alpha
| VIPIX Fund | | | USD 9.45 0.03 0.32% |
Reference data associated with the Jensen Alpha technical indicator for Vanguard Inflation Protected Securities. Indicator values reflect available price and volume data where applicable.
Vanguard Inflation Protected Securities has current Jensen Alpha of 0.008. 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]) |
| = | 0.008 | |
| ER[a] | = | Expected return on investing in VANGUARD INFLATION-PROTEC |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between VANGUARD INFLATION-PROTEC and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
VANGUARD INFLATION-PROTEC Jensen Alpha Peers Comparison
VANGUARD Jensen Alpha Relative To Other Indicators
Vanguard Inflation Protected Securities is rated
below average in jensen alpha among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
93.06 of Maximum Drawdown per Jensen Alpha. At
93.06 , Vanguard Inflation Protected 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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