First Trust Risk Adjusted Performance
| FJAN ETF | | | USD 54.33 0.39 0.72% |
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 First Trust's current Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Risk Adjusted Performance Value
First Trust registers a Risk Adjusted Performance of 0.1189, reflecting positive but modest risk-adjusted return. First Trust has produced a positive return relative to risk, though the margin is limited.
RAP | = | (ER[a] - RFR) * STD[b])/STD[b]RFR |
| = | 0.1189 | |
Risk Adjusted Performance Peers Comparison
The peer group averages 0.13 for Risk Adjusted Performance, with First Trust at 0.1189 falling below that level. Readings span 0.1068 (First Trust Exchange Traded) to 0.2612 (FT Cboe Vest). First Trust'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 First Trust 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.
First Trust shows nearly
21.86 of Maximum Drawdown per unit of Risk Adjusted Performance (
0.12 versus
2.60 ). This indicates Maximum Drawdown substantially exceeds Risk Adjusted Performance for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Risk Adjusted Performance currently stands at 0.1189. First Trust's Risk Adjusted Performance is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
Other Technical Indicators