First Trust Total Risk Alpha
| LMBS ETF | | | USD 49.99 0.14 0.28% |
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 First Trust's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
First Trust carries a Total Risk Alpha of
-0.01, consistent with slightly negative alpha — return marginally below the CAPM-predicted level. First Trust has slightly underperformed relative to what its market beta would imply.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | -0.01 | |
| ER[a] | = | Expected return on investing in First Trust |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on First Trust |
| 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 0.05 for Total Risk Alpha, with First Trust at -0.0052 falling below that level. Readings span -0.0159 (Janus Henderson Mortgage Backed) to 0.0944 (Fidelity Covington Trust). First Trust 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 First Trust 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.
Compare First Trust to PeersMethodology, Assumptions & Data Sources
First Trust's Total Risk Alpha currently stands at -0.01. This Total Risk Alpha reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. 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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