SMI 3Fourteen Risk Adjusted Performance
| FCTE ETF | | | 26.72 -0.10 -0.37% |
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 SMI 3Fourteen's current Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Risk Adjusted Performance Value
The current Risk Adjusted Performance of 0.0295 places SMI 3Fourteen at positive but modest risk-adjusted return. SMI 3Fourteen has produced a positive return relative to risk, though the margin is limited.
RAP | = | (ER[a] - RFR) * STD[b])/STD[b]RFR |
| = | 0.0295 | |
Risk Adjusted Performance Peers Comparison
Relative to peers, SMI 3Fourteen's Risk Adjusted Performance is below the group average of 0.11. Peer readings range from 0.0463 (SPDR SAMPP Software) to 0.1562 (Invesco SAMPP 500), reflecting moderate dispersion across the sector. SMI 3Fourteen'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 SMI 3Fourteen 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.
With Risk Adjusted Performance at
0.03 and Maximum Drawdown at
6.92 , SMI 3Fourteen shows a
234.53 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Risk Adjusted Performance for SMI 3Fourteen.
Methodology, Assumptions & Data Sources
SMI 3Fourteen has a current Risk Adjusted Performance reading of 0.0295. This Risk Adjusted Performance reading for SMI 3Fourteen results from applying the indicator's calculation rules to price and volume data over the selected window. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. 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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