First Trust Risk Adjusted Performance
| FTGC ETF | | | USD 29.40 -0.45 -1.51% |
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 carries a Risk Adjusted Performance of 0.2961, consistent with 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 |
| = | 0.2961 | |
Risk Adjusted Performance Peers Comparison
The peer group averages 0.12 for Risk Adjusted Performance, with First Trust at 0.2961 falling above that level. Readings span 0.0214 (Capital Group Municipal) to 0.2611 (Vanguard 0 3 Month). First Trust's risk-adjusted return exceeds the peer average, indicating more efficient compensation for risk taken.
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.
With Risk Adjusted Performance at
0.30 and Maximum Drawdown at
6.10 , First Trust shows a
20.62 -to-one ratio between these indicators. 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 0.2961. The Risk Adjusted Performance for First Trust applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. 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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