Yanzhou Coal Jensen Alpha vs. Maximum Drawdown

YZCA Stock  EUR 1.09  0.02  1.87%   
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Yanzhou Coal Mining has current Jensen Alpha of 0.4138. 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])

 = 
0.4138
ER[a] = Expected return on investing in Yanzhou Coal
ER[b] = Expected return on market index or selected benchmark
BETA = Beta coefficient between Yanzhou Coal and the market
RFR = Risk Free Rate of return. Typically T-Bill Rate

Yanzhou Coal Jensen Alpha Peers Comparison

Yanzhou Jensen Alpha Relative To Other Indicators

Yanzhou Coal Mining is rated third in jensen alpha category among its peers. It is rated fourth in maximum drawdown category among its peers reporting about  68.19  of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Yanzhou Coal Mining is roughly  68.19 
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.
Compare Yanzhou Coal to Peers

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