ALPS ETF Total Risk Alpha
| OUSM ETF | | | USD 46.85 -0.02 -0.04% |
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 ALPS ETF's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
ALPS ETF's Total Risk Alpha of 0.0361 reflects positive alpha — return above what market exposure alone would predict. ALPS 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] |
| = | 0.0361 | |
| ER[a] | = | Expected return on investing in ALPS ETF |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on ALPS 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
ALPS ETF falls below the 0.06 peer average for Total Risk Alpha. iShares Energy ETF leads at 0.2439 while Direxion Daily FTSE registers the lowest at -0.3181. ALPS ETF 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 ALPS 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.
ALPS ETF shows nearly
97.29 of Maximum Drawdown per unit of Total Risk Alpha (
0.04 versus
3.51 ). This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for ALPS ETF.
Methodology, Assumptions & Data Sources
ALPS ETF's Total Risk Alpha currently stands at 0.0361. The Total Risk Alpha for ALPS ETF applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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