| AUD Stock | | | EUR 279.40 2.05 0.73% |
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Autodesk has current Jensen Alpha of 0.2227. 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]) |
| = | 0.2227 | |
| ER[a] | = | Expected return on investing in Autodesk |
| ER[b] | = | Expected return on market index or selected benchmark |
| BETA | = | Beta coefficient between Autodesk and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Autodesk Jensen Alpha Peers Comparison
Autodesk Jensen Alpha Relative To Other Indicators
Autodesk is rated
below average in jensen alpha category among its peers. It is rated
fifth in maximum drawdown category among its peers reporting about
58.39 of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Autodesk is roughly
58.39 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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