OLD WESTBURY Total Risk Alpha
| OWLSX Fund | | | USD 22.09 0.06 0.27% |
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 OLD WESTBURY's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
With Total Risk Alpha at 0.0655, OLD WESTBURY shows positive alpha — return above what market exposure alone would predict. OLD WESTBURY 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] |
| = | 0.0655 | |
| ER[a] | = | Expected return on investing in OLD WESTBURY |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on OLD WESTBURY |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Among sector peers, OLD WESTBURY's Total Risk Alpha of 0.0655 is below the 0.1 group average. The range runs from 0.011 (PIMCO Flexible Real) to 0.1646 (Prudential Real Estate). OLD WESTBURY 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 Old Westbury 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.
OLD WESTBURY's Maximum Drawdown of
3.86 runs about
58.88 times its Total Risk Alpha of
0.07 . This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for OLD WESTBURY.
Methodology, Assumptions & Data Sources
OLD WESTBURY's Total Risk Alpha currently stands at 0.0655. The Total Risk Alpha for OLD WESTBURY applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. OLD WESTBURY operates in the world large-stock growth sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
Other Technical Indicators