KFA Mount Total Risk Alpha
| KMLM ETF | | | USD 29.04 -0.47 -1.59% |
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 KFA Mount's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
With Total Risk Alpha at 0.1281, KFA Mount shows positive alpha — return above what market exposure alone would predict. KFA Mount 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] |
| = | 0.1281 | |
| ER[a] | = | Expected return on investing in KFA Mount |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on KFA Mount |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Relative to peers, KFA Mount's Total Risk Alpha is above the group average of 0.06. Peer readings range from -0.0125 (Northern Lights) to 0.1697 (iShares Currency Hedged), reflecting wide dispersion across the sector. KFA Mount 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 KFA Mount 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.
KFA Mount shows nearly
31.14 of Maximum Drawdown per unit of Total Risk Alpha (
0.13 versus
3.99 ). This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for KFA Mount.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for KFA Mount is 0.1281. The Total Risk Alpha for KFA Mount is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. 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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