AB VALUE Risk Adjusted Performance
| ABVCX Fund | | | USD 20.55 0.04 0.20% |
Risk-Adjusted Performance (RAP) measures the return an equity would have generated if it carried the same total risk (standard deviation) as the market. Derived from the Sharpe Ratio, RAP is expressed in percentage terms, making direct comparison across assets with different volatility profiles straightforward. Below is AB VALUE's current Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Risk Adjusted Performance Value
The Risk Adjusted Performance of 0.0463 for AB VALUE indicates positive but modest risk-adjusted return. AB VALUE has produced a positive return relative to risk, though the margin is limited.
RAP | = | (ER[a] - RFR) * STD[b])/STD[b]RFR |
| = | 0.0463 | |
Risk Adjusted Performance Peers Comparison
The peer group averages 0.08 for Risk Adjusted Performance, with AB VALUE at 0.0463 falling below that level. Readings span 7.0E-4 (Doubleline Emerging Markets) to 0.1839 (Commodities Strategy Fund). AB VALUE's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Risk Adjusted Performance Relative To Other Indicators
The chart below plots Risk Adjusted Performance against Maximum Drawdown for Ab Value and its peers. Each point represents one equity — position along the horizontal axis shows Risk Adjusted Performance 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.
AB VALUE's Maximum Drawdown of
3.56 runs about
76.92 times its Risk Adjusted Performance of
0.05 . This indicates Maximum Drawdown substantially exceeds Risk Adjusted Performance for AB VALUE.
Methodology, Assumptions & Data Sources
AB VALUE's Risk Adjusted Performance currently stands at 0.0463. Risk Adjusted Performance for AB VALUE 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. AB VALUE operates in the large value sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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