Zurn Elkay Total Risk Alpha
| ZWS Stock | | | USD 52.47 -0.29 -0.55% |
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 Zurn Elkay's current Total Risk Alpha with peer comparisons and related risk metrics.
Current Total Risk Alpha Value
The current Total Risk Alpha of 0.1954 places Zurn Elkay at positive alpha — return above what market exposure alone would predict. Zurn Elkay 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] |
| = | 0.1954 | |
| ER[a] | = | Expected return on investing in Zurn Elkay |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on Zurn Elkay |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Relative to peers, Zurn Elkay's Total Risk Alpha is above the group average of 0.06. Peer readings range from -0.4287 (Parsons Corp) to 0.4737 (IES Holdings), reflecting wide dispersion across the sector. Zurn Elkay 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 Zurn Elkay 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.
Comparing Total Risk Alpha (
0.20 ) to Maximum Drawdown (
13.98 ) for Zurn Elkay yields a
71.55 multiple. This indicates Maximum Drawdown substantially exceeds Total Risk Alpha for Zurn Elkay.
Methodology, Assumptions & Data Sources
The current Total Risk Alpha for Zurn Elkay is 0.1954. Total Risk Alpha for Zurn Elkay is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Zurn Elkay operates in the industrials sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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