IShares Telecommunicatio Total Risk Alpha
| IYZ ETF | | | USD 41.41 -0.66 -1.57% |
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 Telecommunicatio's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
IShares Telecommunicatio carries a Total Risk Alpha of 0.195, consistent with positive alpha — return above what market exposure alone would predict. IShares Telecommunicatio 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] |
| = | 0.195 | |
| ER[a] | = | Expected return on investing in IShares Telecommunicatio |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on IShares Telecommunicatio |
| 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 0.03 for Total Risk Alpha, with IShares Telecommunicatio at 0.195 falling above that level. Readings span -0.1004 (iShares Regional Banks) to 0.1286 (iShares North American). IShares Telecommunicatio 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 IShares Telecommunicatio 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 Telecommunicatio's Maximum Drawdown of
7.16 runs about
36.73 times its Total Risk Alpha of
0.20 . This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for IShares Telecommunicatio.
Methodology, Assumptions & Data Sources
IShares Telecommunicatio's Total Risk Alpha currently stands at 0.195. IShares Telecommunicatio's Total Risk Alpha is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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