Estimation de l'Alpha de Jensen - modèle excel

Your inputs
Are you using weekly or monthly returns?
W
(M or W)
Current Riskfree Rate
3,80% ! Use today's ten -year government bond rate (make sure that you pick the right currency)
Risk Premium
4,50% ! You can use either the historical premium or the implied premium or an augmented premium for country risk.
Beta
0,945 ! Enter your raw beta
Std Error of Beta
0,157 ! From the Bloomberg output
Intercept
0,38% ! Remember that this is already in % on your Bloomberg print out; in other words, 0.05 is .05%.
Past Riskfree rate (Annual)
0,77% ! See attached worksheet for T.Bill rates by year (This is a two-year average; adapt it to meet your requirements)
This is what your output shoud look like
Rf (1- Beta)
0,00%
Jensen's Alpha by period
0,38% (Monthly or Weekly)
Jensen's Alpha Annualized
21,75% (Annual)
67% range
1,10
0,79
95% range
1,26
0,63
Expected Return
8,05%

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! Use today's ten -year government bond rate (make sure that you pick the right currency)
! You can use either the historical premium or the implied premium or an augmented premium for country risk.
! From the Bloomberg output
! Remember that this is already in % on your Bloomberg print out; in other words, 0.05 is .05%.
! See attached worksheet for T.Bill rates by year (This is a two-year average; adapt it to meet your requirements)

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! You can use either the historical premium or the implied premium or an augmented premium for country risk.
! See attached worksheet for T.Bill rates by year (This is a two-year average; adapt it to meet your requirements)

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Year T.Bill Rate
1995
5,49%
1996
5,01%
1997
5,06%
1998
5,16%
1999
4,78%
2000
4,64%
2001
3,39%
2002
1,60%
2003
1,01%
2004
1,37%
2005
3,15%
2006
4,73%
2007
4,35%
2008
1,37%
2009
0,16%

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