VANGUARD DIVERSIFIED Total Risk Alpha
| VDEQX Fund | | | USD 56.27 0.20 0.36% |
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 VANGUARD DIVERSIFIED's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
The Total Risk Alpha of 0.0516 for VANGUARD DIVERSIFIED indicates positive alpha — return above what market exposure alone would predict. VANGUARD DIVERSIFIED 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] |
| = | 0.0516 | |
| ER[a] | = | Expected return on investing in VANGUARD DIVERSIFIED |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on VANGUARD DIVERSIFIED |
| 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 0.05 for Total Risk Alpha, with VANGUARD DIVERSIFIED at 0.0516 falling above that level. Readings span -0.0333 (Oakmark International Small) to 0.1567 (Invesco Small Cap). VANGUARD DIVERSIFIED 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 Vanguard Diversified 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.
VANGUARD DIVERSIFIED's Maximum Drawdown of
4.09 runs about
79.34 times its Total Risk Alpha of
0.05 . This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for VANGUARD DIVERSIFIED.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for VANGUARD DIVERSIFIED is 0.0516. The Total Risk Alpha for VANGUARD DIVERSIFIED 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. VANGUARD DIVERSIFIED operates in the large growth sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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