Canadian Pacific Market Risk Adjusted Performance
| CP Stock | | | USD 86.89 0.71 0.82% |
Market Risk-Adjusted Performance (MRAP) measures return relative to systematic risk (beta) rather than total risk (standard deviation). This isolates the return earned per unit of market exposure, filtering out idiosyncratic volatility that can be diversified away. Below is Canadian Pacific's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
With Market Risk Adjusted Performance at 5.5, Canadian Pacific shows strong risk-adjusted return — return exceeds the risk taken. Canadian Pacific has delivered outsized return relative to total volatility, which is uncommon and indicates efficient risk compensation.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 5.5 | |
| ER[a] | = | Expected return on investing in Canadian Pacific |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
| BETA | = | Beta of the asset with market or selected benchmark. |
Market Risk Adjusted Performance Peers Comparison
The peer group averages 3.75 for Market Risk Adjusted Performance, with Canadian Pacific at 5.5 falling above that level. Readings span -0.7266 (Republic Services) to 26.32 (Quanta Services). Canadian Pacific's risk-adjusted return exceeds the peer average, indicating more efficient compensation for risk taken.
Market Risk Adjusted Performance Relative To Other Indicators
The chart below plots Market Risk Adjusted Performance against Maximum Drawdown for Canadian Pacific and its peers. Each point represents one equity — position along the horizontal axis shows Market 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.
Canadian Pacific's Market Risk Adjusted Performance reads
5.50 while Maximum Drawdown reads
8.35 , a
1.52 ratio between the two. This indicates Maximum Drawdown moderately exceeds Market Risk Adjusted Performance for Canadian Pacific.
Methodology, Assumptions & Data Sources
Canadian Pacific's Market Risk Adjusted Performance currently stands at 5.5. Market Risk Adjusted Performance for Canadian Pacific is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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