IShares MSCI Total Risk Alpha
| SMIN ETF | | | USD 66.31 -0.32 -0.48% |
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 IShares MSCI's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
At 0.0332, IShares MSCI exhibits positive alpha — return above what market exposure alone would predict in Total Risk Alpha. IShares MSCI 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] |
| = | 0.0332 | |
| ER[a] | = | Expected return on investing in IShares MSCI |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on IShares MSCI |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
IShares MSCI's Total Risk Alpha of 0.0332 falls below the 0.08 peer average. Values range from -0.0501 (iShares MSCI Chile) to 0.2439 (iShares Energy ETF), with wide dispersion across the group. IShares MSCI 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 IShares MSCI 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.
IShares MSCI shows nearly
199.52 of Maximum Drawdown per unit of Total Risk Alpha (
0.03 versus
6.62 ). This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for IShares MSCI.
Methodology, Assumptions & Data Sources
IShares MSCI has a current Total Risk Alpha reading of 0.0332. Total Risk Alpha for IShares MSCI 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. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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