First Trust Total Risk Alpha
| FPA ETF | | | USD 52.16 0.19 0.37% |
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 First Trust's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
With Total Risk Alpha at 0.2728, First Trust shows positive alpha — return above what market exposure alone would predict. First Trust 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] |
| = | 0.2728 | |
| ER[a] | = | Expected return on investing in First Trust |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on First Trust |
| 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, First Trust's Total Risk Alpha is above the group average of 0.03. Peer readings range from -0.0206 (Matthews China Active) to 0.0953 (Rayliant Asset Management), reflecting wide dispersion across the sector. First Trust has generated more 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 First Trust 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.
First Trust's Maximum Drawdown of
9.19 runs about
33.70 times its Total Risk Alpha of
0.27 . This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Total Risk Alpha currently stands at 0.2728. Total Risk Alpha for First Trust is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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