Excuse me if I posted this link on how the Jensen Alpha is calculated.  While the speaker uses very high values, the mechanics to come up with Alpha is the same.

As I've mentioned several times, Alpha incorporates four critical parameters.

1. The IRR of the portfolio.  This comes from the Investment Account Manager software.  IAM is the commercial software I use to track portfolio performance.
2. The IRR of the market or benchmark.  This also comes from the IAM software and I use VTHRX as the benchmark.
3. A risk free percentage and I use the yield from SHV.
4. The beta of the portfolio.  This comes out of the Kipling spreadsheet.

If the beta (systemic risk is low), it is possible to add Alpha to a portfolio even if one is not outperforming the benchmark.

Lowell