North European Total Risk Alpha
| NRT Stock | | | USD 8.12 0.02 0.25% |
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 North European's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
North European's Total Risk Alpha of
-0.06 reflects slightly negative alpha — return marginally below the CAPM-predicted level. North European has slightly underperformed relative to what its market beta would imply.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | -0.06 | |
| ER[a] | = | Expected return on investing in North European |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on North European |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
North European falls below the 0.19 peer average for Total Risk Alpha. MV Oil Trust leads at 0.9877 while PermRock Royalty Trust registers the lowest at -0.3057. North European 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 North European 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 North European to PeersMethodology, Assumptions & Data Sources
North European has a current Total Risk Alpha reading of -0.06. Total Risk Alpha for North European is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. North European operates in the energy sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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