Citigroup Jensen Alpha 
C  USA Stock  USD 66.81 0.67 0.99% 
Symbol 
Citigroup 
 =  0.0276 
ER[a]  =  Expected return on investing in Citigroup 
ER[b]  =  Expected return on market index or selected benchmark 
BETA  =  Beta coefficient between Citigroup and the market 
RFR  =  Risk Free Rate of return. Typically TBill Rate 
Jensen Alpha Comparison
Citigroup is rated second in jensen alpha category among related companies. It is rated third in maximum drawdown category among related companies reporting about 246.34 of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Citigroup is roughly 246.34
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.Jensen Alpha  ...

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Risk Adjusted Performance  0.0087  
Market Risk Adjusted Performance  0.007  
Mean Deviation  1.19  
Semi Deviation  1.53  
Downside Deviation  1.56  
Coefficient Of Variation  22601.65  
Standard Deviation  1.63  
Variance  2.65  
Information Ratio  0.0182  
Jensen Alpha  0.0276  
Total Risk Alpha  0.0669  
Sortino Ratio  0.0189  
Treynor Ratio  (0.002974)  
Maximum Drawdown  6.8  
Value At Risk  (2.30)  
Potential Upside  2.19  
Downside Variance  2.44  
Semi Variance  2.33  
Expected Short fall  (1.31)  
Skewness  0.2632  
Kurtosis  2.04 
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