What is Jensen's alpha?

Jensen's alpha is the intercept from the CAPM regression: α = Portfolio Return - [Risk-Free Rate + β × (Market Return - Risk-Free Rate)]. Positive alpha indicates outperformance after adjusting for market risk.

What R-squared is acceptable for factor models?

R-squared of 0.8+ means the factors explain most return variation. Low R-squared (below 0.5) for an equity fund may indicate idiosyncratic or alternative risk factors not captured by the model.

Factor Regression & Alpha Calculator

Run multi-factor regression analysis for investment portfolios. Estimate factor betas, Jensen's alpha, t-statistics, and information ratio vs. factor models. Suitable for hedge fund return attribution and portfolio factor exposure analysis.

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$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Run multi-factor regression analysis for investment portfolios. Estimate factor betas, Jensen's alpha, t-statistics, and information ratio vs. factor models. Suitable for hedge fund return attribution and portfolio factor exposure analysis. Use the factor regression result to inform your calculation.

Factor Regression & Alpha Calculator

How to Use

Frequently Asked Questions

What is Jensen's alpha?

What R-squared is acceptable for factor models?