First Trust Market Risk Adjusted Performance
| FPA ETF | | | USD 53.30 -1.06 -1.95% |
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 First Trust's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
First Trust registers a Market Risk Adjusted Performance of 0.2723, reflecting positive but modest risk-adjusted return. First Trust has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.2723 | |
| ER[a] | = | Expected return on investing in First Trust |
| 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
Relative to peers, First Trust's Market Risk Adjusted Performance is above the group average of 0.07. Peer readings range from 0.0309 (Matthews China Active) to 0.125 (RiverFront Dynamic Flex Cap), reflecting wide dispersion across the sector. First Trust'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 First Trust 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.
First Trust's Maximum Drawdown of
9.19 runs about
33.77 times its Market Risk Adjusted Performance of
0.27 . This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for First Trust.
Methodology, Assumptions & Data Sources
The current Market Risk Adjusted Performance for First Trust is 0.2723. The Market Risk Adjusted Performance for First Trust applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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