ExcelBanter - Can Excel Calculate a Jensen Alpha?

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MPT Guy

Can Excel Calculate a Jensen Alpha?

Is there a function, or way, in Excel to calculate a jensen alpha statistic?

Harlan Grove

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)

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