Valued Advisers Total Risk Alpha
| MBSF ETF | | | 25.66 -0.03 -0.12% |
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 Valued Advisers's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
The Total Risk Alpha of 0.0014 for Valued Advisers indicates positive alpha — return above what market exposure alone would predict. Valued Advisers 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] |
| = | 0.0014 | |
| ER[a] | = | Expected return on investing in Valued Advisers |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Valued Advisers |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Valued Advisers's Total Risk Alpha of 0.0014 falls below the 0.04 peer average. Values range from -0.139 (WisdomTree Efficient Gold) to 0.1588 (ProShares Ultra MidCap400), with wide dispersion across the group. Valued Advisers 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 Valued Advisers 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.
Valued Advisers records a Total Risk Alpha of
0.00 and a Maximum Drawdown of
1.17 , yielding roughly
837.57 units of Maximum Drawdown per Total Risk Alpha. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for Valued Advisers.
Methodology, Assumptions & Data Sources
Valued Advisers has a current Total Risk Alpha reading of 0.0014. This Total Risk Alpha reading for Valued Advisers results from applying the indicator's calculation rules to price and volume data over the selected window. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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