AlphaJensen

Description

The Jensen's Alpha study calculates the average return of a security or portfolio relative to that of a benchmark index. In mathematical sense, it is equal to average rate of change in security's price minus that of the benchmark index multiplied by its Beta. Jensen's Alpha assumes that the security has a Beta of 1.0.

By default, this study conducts calculation against the SPX index.

Input Parameters

Parameter Description
price The price used in calculations.
length The number of bars used to calculate the average returns of the index and the security.
return length The number of bars used to calculate the rate of change.
index The benchmark index against which the study is calculated.

Plots

Plot Description
ALPHA The Jensen's Alpha study.

Example*

*For illustrative purposes only. Not a recommendation of a specific security or investment strategy.

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