First Trust Total Risk Alpha
| FTGC ETF | | | USD 29.13 -0.27 -0.92% |
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
First Trust carries a Total Risk Alpha of 0.3269, consistent with 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] |
| = | 0.3269 | |
| 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
The peer group averages 0.16 for Total Risk Alpha, with First Trust at 0.3269 falling above that level. Readings span 3.0E-4 (Capital Group Municipal) to 0.7453 (Volatility Shares Trust). 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.
With Total Risk Alpha at
0.33 and Maximum Drawdown at
6.10 , First Trust shows a
18.68 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for First Trust.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for First Trust is 0.3269. The Total Risk Alpha for First Trust is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. 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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