Select STOXX Total Risk Alpha
| EUAD ETF | | | 41.99 -1.34 -3.09% |
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 Select STOXX's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
Select STOXX registers a Total Risk Alpha of
-0.01, reflecting slightly negative alpha — return marginally below the CAPM-predicted level. Select STOXX has slightly underperformed relative to what its market beta would imply.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | -0.01 | |
| ER[a] | = | Expected return on investing in Select STOXX |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Select STOXX |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
The peer group averages 0.04 for Total Risk Alpha, with Select STOXX at -0.0079 falling below that level. Readings span -0.6391 (Direxion Daily SAMPP) to 0.2231 (Strive Energy ETF). Select STOXX 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 Select STOXX 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 Select STOXX to PeersMethodology, Assumptions & Data Sources
The current Total Risk Alpha for Select STOXX is -0.01. Select STOXX'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. 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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