Alpha Blue Total Risk Alpha
| ABCS ETF | | | 32.21 0.10 0.31% |
Total Risk Alpha measures the excess return of an asset after comparing its performance to a benchmark portfolio matched to the same total risk level. Unlike Jensen Alpha, which adjusts for systematic risk (beta) only, Total Risk Alpha accounts for total volatility. Below is Alpha Blue's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
At 0.0341, Alpha Blue exhibits positive alpha — return above what market exposure alone would predict in Total Risk Alpha. Alpha Blue has generated modest excess return beyond what its systematic risk exposure explains.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | 0.0341 | |
| ER[a] | = | Expected return on investing in Alpha Blue |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Alpha Blue |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Alpha Blue's Total Risk Alpha of 0.0341 falls above the 0.03 peer average. Values range from -0.0997 (JPMorgan Healthcare Leaders) to 0.15 (BlackRock Large Cap), with wide dispersion across the group. Alpha Blue has generated more excess return relative to its market exposure than the peer group average.
Total Risk Alpha Relative To Other Indicators
The chart below plots Total Risk Alpha against Maximum Drawdown for Alpha Blue and its peers. Each point represents one equity — position along the horizontal axis shows Total Risk Alpha while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Comparing Total Risk Alpha (
0.03 ) to Maximum Drawdown (
3.85 ) for Alpha Blue yields a
112.99 multiple. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for Alpha Blue.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for Alpha Blue is 0.0341. The Total Risk Alpha for Alpha Blue is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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