Financial Calculator • Educational Use
Jensen’s Alpha
Calculator
Calculate CAPM-adjusted portfolio performance, or explore beta, risk metrics and historical alpha using paired returns.
No stored inputsIllustrative mathematics only.
Quick Answer
What is Jensen’s Alpha?
Jensen’s Alpha measures how a portfolio performed relative to the return expected by CAPM for its market risk. Positive alpha means outperformance against that model—not necessarily investment skill.
Portfolio Performance Analytics
Measure Returns.
Adjust for Risk.
Enter your assumptions or load historical returns. Calculations stay on your device; no financial information is transmitted by this calculator.
All three returns must cover the same period. Beta must be measured against the selected benchmark.
Upload or paste matched periodic returns in percent. Use date,portfolio,benchmark, optionally followed by portfolio2,portfolio3 to compare up to three portfolios. Dates must be chronological.
At least three aligned observations required; substantially more are recommended. Sample figures are illustrative—not historical market data.
Formula, assumptions and limitations
Manual alpha = portfolio return − [risk-free rate + β × (benchmark return − risk-free rate)]. Historical mode estimates beta as sample covariance(portfolio, benchmark) / sample variance(benchmark), then obtains the intercept of excess portfolio returns regressed on excess benchmark returns. Historical regression alpha is multiplied by the chosen number of periods per year for arithmetic annualisation (not compounded). Sharpe ratio, tracking error and volatility use matching periodic observations and square-root-of-time scaling. Positive alpha does not establish statistical significance or future performance; CAPM is a simplified model. Fees, taxes and distributions must already be reflected in your input returns if relevant.