Invesco SAMPP Market Risk Adjusted Performance
| IDHQ ETF | | | USD 40.60 1.29 3.28% |
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 Invesco SAMPP's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
At 0.0824, Invesco SAMPP's Market Risk Adjusted Performance indicates positive but modest risk-adjusted return. Invesco SAMPP has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.0824 | |
| ER[a] | = | Expected return on investing in Invesco SAMPP |
| 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
Invesco SAMPP falls below the 0.11 peer average for Market Risk Adjusted Performance. Northern Lights leads at 0.1978 while SPDR SAMPP China registers the lowest at -0.0506. Invesco SAMPP's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Market Risk Adjusted Performance Relative To Other Indicators
The chart below plots Market Risk Adjusted Performance against Maximum Drawdown for Invesco SAMPP 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.
Invesco SAMPP's Market Risk Adjusted Performance reads
0.08 while Maximum Drawdown reads
7.51 , a
91.09 ratio between the two. This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for Invesco SAMPP.
Methodology, Assumptions & Data Sources
Invesco SAMPP's Market Risk Adjusted Performance currently stands at 0.0824. The Market Risk Adjusted Performance for Invesco SAMPP is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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