FT Cboe Total Risk Alpha
| DAUG ETF | | | USD 46.16 0.09 0.20% |
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 FT Cboe's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
FT Cboe has a Total Risk Alpha of 0.0464, indicating positive alpha — return above what market exposure alone would predict. FT Cboe 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] |
| = | 0.0464 | |
| ER[a] | = | Expected return on investing in FT Cboe |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on FT Cboe |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
FT Cboe falls below the 0.05 peer average for Total Risk Alpha. First Trust Exchange Traded leads at 0.081 while First Trust Exchange Traded registers the lowest at 0.0346. FT Cboe 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 FT Cboe 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.
FT Cboe records a Total Risk Alpha of
0.05 and a Maximum Drawdown of
2.05 , yielding roughly
44.24 units of Maximum Drawdown per Total Risk Alpha. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for FT Cboe.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for FT Cboe is 0.0464. The Total Risk Alpha for FT Cboe is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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