| 0R01 Stock | | | 67.91 0.71 1.03% |
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Citigroup has current Jensen Alpha of 0.1587. 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]) |
| = | 0.1587 | |
| ER[a] | = | Expected return on investing in Citigroup |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Citigroup and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Citigroup Jensen Alpha Peers Comparison
Citigroup Jensen Alpha Relative To Other Indicators
Citigroup is rated
second in jensen alpha category among its peers. It is currently under evaluation in sortino ratio category among its peers fabricating about
0.57 of Sortino Ratio per Jensen Alpha. The ratio of Jensen Alpha to Sortino Ratio for Citigroup is roughly
1.75 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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