FlexShares Morningstar Total Risk Alpha
| TLTE ETF | | | USD 78.04 1.92 2.52% |
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 FlexShares Morningstar's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
A Total Risk Alpha of 0.1438 for FlexShares Morningstar signals positive alpha — return above what market exposure alone would predict. FlexShares Morningstar 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] |
| = | 0.1438 | |
| ER[a] | = | Expected return on investing in FlexShares Morningstar |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on FlexShares Morningstar |
| 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, FlexShares Morningstar's Total Risk Alpha of 0.1438 is above the 0.08 group average. The range runs from -0.0275 (SPDR Dow Jones) to 0.2488 (Dimensional ETF Trust). FlexShares Morningstar has generated more 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 FlexShares Morningstar 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.
With Total Risk Alpha at
0.14 and Maximum Drawdown at
6.53 , FlexShares Morningstar shows a
45.43 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for FlexShares Morningstar.
Methodology, Assumptions & Data Sources
FlexShares Morningstar has a current Total Risk Alpha reading of 0.1438. The Total Risk Alpha for FlexShares Morningstar applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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