AB Active Total Risk Alpha
| LRGC ETF | | | 82.51 0.29 0.35% |
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 AB Active's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
The Total Risk Alpha of 0.111 for AB Active indicates positive alpha — return above what market exposure alone would predict. AB Active 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] |
| = | 0.111 | |
| ER[a] | = | Expected return on investing in AB Active |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on AB Active |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
AB Active's Total Risk Alpha of 0.111 falls above the 0.1 peer average. Values range from 0.0427 (Innovator SAMPP 500) to 0.1738 (First Trust Nasdaq), with wide dispersion across the group. AB Active 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 AB Active 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.
With Total Risk Alpha at
0.11 and Maximum Drawdown at
3.64 , AB Active shows a
32.83 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for AB Active.
Methodology, Assumptions & Data Sources
AB Active's Total Risk Alpha currently stands at 0.111. The Total Risk Alpha for AB Active is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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