AutoZone Total Risk Alpha
| AZO Stock | | | USD 3,524 -39.53 -1.11% |
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 AutoZone's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
AutoZone's Total Risk Alpha of
-0.06 reflects slightly negative alpha — return marginally below the CAPM-predicted level. AutoZone has slightly underperformed relative to what its market beta would imply.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | -0.06 | |
| ER[a] | = | Expected return on investing in AutoZone |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on AutoZone |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
AutoZone falls below the 0.02 peer average for Total Risk Alpha. Ross Stores leads at 0.3183 while Copart Inc registers the lowest at -0.2841. AutoZone has generated less 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 AutoZone 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.
Compare AutoZone to PeersMethodology, Assumptions & Data Sources
AutoZone has a current Total Risk Alpha reading of -0.06. The Total Risk Alpha for AutoZone applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. AutoZone operates in the consumer discretionary sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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