What It Tries To Do
jensen_alpha looks for stocks that have beaten what their market exposure would normally explain. In simple terms, it asks: did this stock outperform after accounting for benchmark movement?
How It Decides
The strategy estimates trailing one-year alpha versus the configured benchmark and ranks positive-alpha stocks.
Simple Example
If the market rose 10 percent and a stock rose 30 percent, some of that return may be broad market movement and some may be stock-specific strength. This strategy tries to rank the stock-specific part.
When To Use It
Use it when you have a clean benchmark series and want to study stock-specific outperformance. Monthly rebalance is a reasonable default.
What Can Go Wrong
High-alpha names can also be high-beta or crowded. If the market regime changes, recent alpha may disappear.
How To Read Results
Check benchmark-relative metrics and drawdown. A good result should not only rise in bull markets; it should show evidence of useful stock selection.