Cresud SACIF Total Risk Alpha
| CRESY Stock | | | USD 11.55 0.01 0.09% |
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 Cresud SACIF's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
At
-0.23, Cresud SACIF's Total Risk Alpha indicates slightly negative alpha — return marginally below the CAPM-predicted level. Cresud SACIF has slightly underperformed relative to what its market beta would imply.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | -0.23 | |
| ER[a] | = | Expected return on investing in Cresud SACIF |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Cresud SACIF |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Relative to peers, Cresud SACIF's Total Risk Alpha is below the group average of -0.02. Peer readings range from -0.8628 (Great Lakes Dredge) to 0.9759 (Compass Diversified Holdings), reflecting tight clustering across the sector. Cresud SACIF 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 Cresud SACIF 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 Cresud SACIF to PeersMethodology, Assumptions & Data Sources
The current Total Risk Alpha for Cresud SACIF is -0.23. Total Risk Alpha for Cresud SACIF is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Cresud SACIF operates in the real estate 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.
Other Technical Indicators