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Posted to microsoft.public.excel.worksheet.functions
Harlan Grove
 
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Default Can Excel Calculate a Jensen Alpha?

MPT Guy wrote...
Is there a function, or way, in Excel to calculate a jensen alpha statistic?


Sure. Given the following

portfolio return (RP)
market return (RM)
risk-free return (RF)
portfolio beta (BP)

it's just

=RP-RF-BP*(RM-RF)