Global Engine Total Risk Alpha
| GLE Stock | | | 0.55 0.19 52.78% |
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 Global Engine's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
The Total Risk Alpha of 1.37 for Global Engine indicates strong positive alpha — return materially above what market exposure alone would predict. Global Engine has generated returns well beyond what its beta-adjusted market risk explains.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | 1.37 | |
| ER[a] | = | Expected return on investing in Global Engine |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Global Engine |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Global Engine's Total Risk Alpha of 1.37 falls above the -0.18 peer average. Values range from -0.9502 (Amesite Operating Co) to 0.4369 (Bridgeline Digital), with tight clustering across the group. Global Engine 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 Global Engine 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
1.37 and Maximum Drawdown at
36.38 , Global Engine shows a
26.47 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for Global Engine.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for Global Engine is 1.37. The Total Risk Alpha for Global Engine is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The output reflects the selected calculation window — changing the horizon will produce different readings. This stock metric is provided for analytical reference.
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