Vanguard SAMPP Total Risk Alpha
| VIOV ETF | | | USD 111.76 0.72 0.65% |
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 SAMPP's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
Vanguard SAMPP's Total Risk Alpha of 0.0685 reflects positive alpha — return above what market exposure alone would predict. Vanguard SAMPP 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] |
| = | 0.0685 | |
| ER[a] | = | Expected return on investing in Vanguard SAMPP |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Vanguard SAMPP |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Vanguard SAMPP falls below the 0.11 peer average for Total Risk Alpha. Fidelity MSCI Energy leads at 0.2251 while Invesco SAMPP 500 registers the lowest at 0.0079. Vanguard SAMPP 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 Vanguard SAMPP 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 SAMPP produces
70.25 in Maximum Drawdown for each unit of Total Risk Alpha, with respective readings of
4.81 and
0.07 . This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for Vanguard SAMPP.
Methodology, Assumptions & Data Sources
Vanguard SAMPP has a current Total Risk Alpha reading of 0.0685. Total Risk Alpha for Vanguard SAMPP is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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