First Trust Risk Adjusted Performance
| GRID ETF | | | USD 197.22 4.35 2.26% |
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's Risk Adjusted Performance of 0.1363 reflects 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 |
| = | 0.1363 | |
Risk Adjusted Performance Peers Comparison
First Trust falls above the 0.05 peer average for Risk Adjusted Performance. First Trust North leads at 0.1608 while First Trust TCW registers the lowest at -0.035. 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
0.14 and Maximum Drawdown at
7.21 , First Trust shows a
52.89 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Risk Adjusted Performance for First Trust.
Methodology, Assumptions & Data Sources
First Trust has a current Risk Adjusted Performance reading of 0.1363. 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. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. 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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