What this calculator does
Jensen's alpha works out risk-adjusted return a portfolio earned above what CAPM predicted. Enter your own figures above and the answer updates as you type: nothing is fixed in the code, so the result reflects exactly the numbers you supply.
The formula this calculator evaluates is printed under the tool and explained below, so you can check the working by hand or reuse it in a spreadsheet.
The formula
FormulaAlpha = R_portfolio − [R_f + β × (R_market − R_f)]
The inputs explained
| Field | What to enter |
|---|---|
| Beginning portfolio value ($) | A number, measured in your currency. Starts at 1000000. |
| Ending portfolio value ($) | A number, measured in your currency. Starts at 1200000. |
| Portfolio beta | A number. Starts at 1.12. |
| Risk-free rate (%) | A number, measured in %. Starts at 2. |
| Market rate of return (%) | A number, measured in %. Starts at 11. |
Worked examples
Every figure in the tables below is produced by this page’s own calculator at build time, so the numbers and the tool always agree. Select any row to load that scenario.
How the answer changes with beginning portfolio value
Every other input is held at the calculator’s starting values while beginning portfolio value varies. Select any row to load that scenario into the calculator.