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Perhitungan Risk Adjusted Performance: Jensen Alpha

Perhitungan Risk Adjusted Performance: Jensen Alpha

By: Abdul Hadi

Jensen Alpha: Formula

Prosedur formula:

  • hitung rerata return portofolio
  • hitung rerata return benchmark
  • hitung rerata risk free rate of interest
  • hitung beta portofolio
  • hitung Jensen’s alpha

Interpretasi:

If the alpha is positive it represents a superior management performance. The alpha’s (α) negative value indicates an inferior management performance. If alpha ‘0’ it indicate a neutral performance by by the management (Tripathy, 149:2007)

Jensen Alpha: Example

  1. March 13, 2015 at 3:15 pm

    kalau menggunakan mc excel gimna rumusnya ya ?

    • March 14, 2015 at 2:09 pm

      To Daniels,
      Tersedia spreadsheet aplikasi model risk adjusted performance, mau beli atau dibantu olah data, silakan kontak di einfojasa@gmail.com.

      Thanks and regards,
      Abdul Hadi

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