DBX ETF Total Risk Alpha
| MIDE ETF | | | USD 36.71 -0.46 -1.24% |
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 DBX ETF's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
DBX ETF registers a Total Risk Alpha of 0.0757, reflecting positive alpha — return above what market exposure alone would predict. DBX ETF 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] |
| = | 0.0757 | |
| ER[a] | = | Expected return on investing in DBX ETF |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on DBX ETF |
| 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 DBX ETF at 0.0757 falling above that level. Readings span -0.1646 (BlackRock Future Health) to 0.3652 (ProShares Nanotechnology ETF). DBX ETF 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 DBX ETF 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
0.08 and Maximum Drawdown at
5.54 , DBX ETF shows a
73.20 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for DBX ETF.
Methodology, Assumptions & Data Sources
DBX ETF has a current Total Risk Alpha reading of 0.0757. This Total Risk Alpha reading for DBX ETF 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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