Brookstone Value Total Risk Alpha
| BAMV ETF | | | 34.56 -0.01 -0.03% |
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 Brookstone Value's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
Brookstone Value's Total Risk Alpha of 0.0633 reflects positive alpha — return above what market exposure alone would predict. Brookstone Value 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] |
| = | 0.0633 | |
| ER[a] | = | Expected return on investing in Brookstone Value |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Brookstone Value |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Brookstone Value falls below the 0.11 peer average for Total Risk Alpha. Inspire Faithward Mid leads at 0.2145 while Franklin Income Equity registers the lowest at 0.0447. Brookstone Value 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 Brookstone Value 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.
Brookstone Value produces
58.30 in Maximum Drawdown for each unit of Total Risk Alpha, with respective readings of
3.69 and
0.06 . This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for Brookstone Value.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for Brookstone Value is 0.0633. Brookstone Value's Total Risk Alpha is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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