VanEck Pharmaceutical Total Risk Alpha
| PPH ETF | | | USD 100.83 -1.40 -1.37% |
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 VanEck Pharmaceutical's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
VanEck Pharmaceutical carries a Total Risk Alpha of
-0.08, consistent with slightly negative alpha — return marginally below the CAPM-predicted level. VanEck Pharmaceutical has slightly underperformed relative to what its market beta would imply.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | -0.08 | |
| ER[a] | = | Expected return on investing in VanEck Pharmaceutical |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on VanEck Pharmaceutical |
| 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 0.02 for Total Risk Alpha, with VanEck Pharmaceutical at -0.0754 falling below that level. Readings span -0.1237 (VanEck Biotech ETF) to 0.1637 (First Trust Small). VanEck Pharmaceutical 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 VanEck Pharmaceutical 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 VanEck Pharmaceutical to PeersMethodology, Assumptions & Data Sources
VanEck Pharmaceutical has a current Total Risk Alpha reading of -0.08. Total Risk Alpha for VanEck Pharmaceutical is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
Other Technical Indicators