IShares Global Total Risk Alpha
| IXP ETF | | | USD 125.00 -0.09 -0.07% |
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 IShares Global's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
At 0.0478, IShares Global exhibits positive alpha — return above what market exposure alone would predict in Total Risk Alpha. IShares Global 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] |
| = | 0.0478 | |
| ER[a] | = | Expected return on investing in IShares Global |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on IShares Global |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
IShares Global's Total Risk Alpha of 0.0478 falls below the 0.09 peer average. Values range from 0.0272 (VictoryShares 500 Volatility) to 0.1931 (Invesco SAMPP International), with wide dispersion across the group. IShares Global 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 IShares Global 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.
IShares Global's Total Risk Alpha reads
0.05 while Maximum Drawdown reads
4.20 , a
87.85 ratio between the two. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for IShares Global.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for IShares Global is 0.0478. The Total Risk Alpha for IShares Global 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. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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