JensenAlphaAnalysen

JensenAlphaAnalysen is a research and advisory organization that specializes in evaluating investment performance using Jensen's alpha and related risk-adjusted metrics. The organization conducts empirical studies, publishes analytical reports, and provides consultancy services to asset managers, pension funds, and institutional investors seeking to understand beyond-benchmark performance.

Founded in 2012 by quantitative finance researchers, initially in Copenhagen, JensenAlphaAnalysen expanded to Oslo and Berlin. It operates as a registered consultancy with a multi-disciplinary team including financial economists, data scientists, and software developers. The firm collaborates with academic partners and industry associations to validate methods and share best practices.

Methodology centers on calculating alpha against a CAPM benchmark, complemented by time-series regressions, bootstrap confidence intervals, and out-of-sample testing. In response to CAPM limitations, the group also offers multi-factor extensions, risk-attribution analyses, and scenario testing. Deliverables include performance reports, attribution breakdowns, and reproducible research code.

In professional discourse, JensenAlphaAnalysen is cited as a case study in rigorous performance evaluation. Critics note that Jensen's alpha is sensitive to model specification and time horizon, particularly in markets where multi-factor risks prevail. The organization emphasizes transparent methodology, disclosure of assumptions, and alignment with industry standards.