Vanguard SAMPP Risk Adjusted Performance
| IVOG ETF | | | USD 139.83 0.81 0.58% |
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 Vanguard SAMPP's current Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Risk Adjusted Performance Value
Vanguard SAMPP has a Risk Adjusted Performance of 0.0799, indicating positive but modest risk-adjusted return. Vanguard SAMPP has produced a positive return relative to risk, though the margin is limited.
RAP | = | (ER[a] - RFR) * STD[b])/STD[b]RFR |
| = | 0.0799 | |
Risk Adjusted Performance Peers Comparison
Vanguard SAMPP falls above the 0.07 peer average for Risk Adjusted Performance. First Trust Technology leads at 0.1512 while Vanguard SAMPP Mid Cap registers the lowest at -0.0028. Vanguard SAMPP'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 Vanguard SAMPP 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.
Vanguard SAMPP records a Risk Adjusted Performance of
0.08 and a Maximum Drawdown of
5.31 , yielding roughly
66.52 units of Maximum Drawdown per Risk Adjusted Performance. This indicates Maximum Drawdown substantially exceeds Risk Adjusted Performance for Vanguard SAMPP.
Methodology, Assumptions & Data Sources
Vanguard SAMPP's Risk Adjusted Performance currently stands at 0.0799. Risk Adjusted Performance for Vanguard SAMPP is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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