Invesco RAFI Total Risk Alpha
| IUS ETF | | | USD 64.06 0.63 0.99% |
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 Invesco RAFI's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
At 0.0915, Invesco RAFI exhibits positive alpha — return above what market exposure alone would predict in Total Risk Alpha. Invesco RAFI 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] |
| = | 0.0915 | |
| ER[a] | = | Expected return on investing in Invesco RAFI |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Invesco RAFI |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Invesco RAFI's Total Risk Alpha of 0.0915 falls above the 0.0 peer average. Values range from -0.1801 (iShares India 50) to 0.2546 (Invesco DWA SmallCap), with tight clustering across the group. Invesco RAFI 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 Invesco RAFI 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.
Comparing Total Risk Alpha (
0.09 ) to Maximum Drawdown (
2.96 ) for Invesco RAFI yields a
32.32 multiple. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for Invesco RAFI.
Methodology, Assumptions & Data Sources
Invesco RAFI's Total Risk Alpha currently stands at 0.0915. Total Risk Alpha for Invesco RAFI is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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