Jensen's Alpha

Last updated 9 November 2026

Function reference › Risk and Performance Measures › Ratios and Measures

1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].

GIA_RPM_JensenAlphaFromValues

Returns the Jensen's alpha during a specified period, given historical values of the portfolio/fund, a market index and the risk free rates.

GIA_RPM_JensenAlphaFromValues(HDatesP, HRatesP, HDatesRf, HRatesRf, HDatesI, HRatesI, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns: Jensen's alpha during a specified period

Argument	Use	Description
`HDatesP`	Required	The array of dates of historical prices of the portfolio/fund.
`HRatesP`	Required	The array of rates of historical prices of the portfolio/fund.
`HDatesRf`	Required	The array of dates of historical annual risk free rates.
`HRatesRf`	Required	The array of rates of historical annual risk free rates.
`HDatesI`	Required	The array of dates of historical prices of the market index.
`HRatesI`	Required	The array of rates of historical prices of the market index.
`TimeInterval`	Required	Time period of the price changes (Days, Week, Month, Quarter, Year)
`Overlap`	Required	Whether there is an overlap between dates (Yes, No)
`DaysNumber`	Required	Number of days if the parameter TimeInterval is Days
`WeekLastDay`	Required	The last day of the week if the parameter TimeInterval is Week (Sunday, Monday, Tuesday, Wednesday, Thursday, Friday)
`PriceChangeCalc`	Required	Calculation type of the price change (Discrete, Continuous, Absolute). See the documentation for full description.
`StartDate`	Required	The first date in the required period.
`EndDate`	Required	The last date in the required period.
`ExcludeFromDate`	Required	The first date in the period excluded from the required period.
`ExcludeToDate`	Required	The last date in the period excluded from the required period.