ProShares UltraPro Total Risk Alpha
| TQQQ ETF | | | USD 64.44 -0.86 -1.32% |
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 ProShares UltraPro's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
ProShares UltraPro registers a Total Risk Alpha of 0.2266, reflecting positive alpha — return above what market exposure alone would predict. ProShares UltraPro 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] |
| = | 0.2266 | |
| ER[a] | = | Expected return on investing in ProShares UltraPro |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on ProShares UltraPro |
| 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 0.03 for Total Risk Alpha, with ProShares UltraPro at 0.2266 falling above that level. Readings span -0.0511 (Consumer Discretionary Select) to 0.155 (ProShares Ultra QQQ). ProShares UltraPro 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 ProShares UltraPro 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.
ProShares UltraPro's Total Risk Alpha reads
0.23 while Maximum Drawdown reads
13.32 , a
58.79 ratio between the two. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for ProShares UltraPro.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for ProShares UltraPro is 0.2266. ProShares UltraPro's Total Risk Alpha is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. 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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