| TEET Etf | | | EUR 76.57 0.39 0.51% |
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VanEck Sustainable European has current Jensen Alpha of 0.0092. 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]) |
| = | 0.0092 | |
| ER[a] | = | Expected return on investing in VanEck Sustainable |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between VanEck Sustainable and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
VanEck Sustainable Jensen Alpha Peers Comparison
VanEck Jensen Alpha Relative To Other Indicators
VanEck Sustainable European is rated
below average in jensen alpha as compared to similar ETFs. It is currently under evaluation in maximum drawdown as compared to similar ETFs reporting about
359.52 of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for VanEck Sustainable European is roughly
359.52 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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