Invesco RAFI Market Risk Adjusted Performance
| IUS ETF | | | USD 64.06 0.63 0.99% |
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 RAFI's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
At 0.1598, Invesco RAFI exhibits positive but modest risk-adjusted return in Market Risk Adjusted Performance. Invesco RAFI has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.1598 | |
| ER[a] | = | Expected return on investing in Invesco RAFI |
| 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 RAFI's Market Risk Adjusted Performance of 0.1598 falls above the 0.02 peer average. Values range from -0.1649 (iShares India 50) to 0.1965 (Invesco DWA SmallCap), with wide dispersion across the group. Invesco RAFI'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 Invesco RAFI 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.
Comparing Market Risk Adjusted Performance (
0.16 ) to Maximum Drawdown (
2.96 ) for Invesco RAFI yields a
18.50 multiple. This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for Invesco RAFI.
Methodology, Assumptions & Data Sources
The current Market Risk Adjusted Performance for Invesco RAFI is 0.1598. Invesco RAFI's Market 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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