FinancialWar
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- Jun 18, 2026
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“Jensen’s Alpha” found in the topic of Portfolio Management and “Abnormal return” found in the topic of Equity. Aren’t say the same concept?
CFAI defines abnormal return as
The amount by which a security’s actual return differs from its expected return, given the security’s risk and the market’s return.
So my interpretation of the latter half of the definition basically is expected return calculated by CAPM because of the security’s risk (it’s beta) and the market return. So to me, these two turns are exact the same thing.
CFAI defines abnormal return as
The amount by which a security’s actual return differs from its expected return, given the security’s risk and the market’s return.
So my interpretation of the latter half of the definition basically is expected return calculated by CAPM because of the security’s risk (it’s beta) and the market return. So to me, these two turns are exact the same thing.