SIIT LARGE Risk Adjusted Performance
| LCIAX Fund | | | USD 213.96 1.67 0.79% |
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 SIIT LARGE's current Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Risk Adjusted Performance Value
SIIT LARGE has a Risk Adjusted Performance of 0.1135, indicating positive but modest risk-adjusted return. SIIT LARGE has produced a positive return relative to risk, though the margin is limited.
RAP | = | (ER[a] - RFR) * STD[b])/STD[b]RFR |
| = | 0.1135 | |
Risk Adjusted Performance Peers Comparison
SIIT LARGE falls above the 0.07 peer average for Risk Adjusted Performance. Nationwide Sampp 500 leads at 0.1194 while Hennessy Focus Fund registers the lowest at -0.0477. SIIT LARGE'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 Siit Large 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.
SIIT LARGE's Maximum Drawdown of
3.76 runs about
33.12 times its Risk Adjusted Performance of
0.11 . This indicates Maximum Drawdown substantially exceeds Risk Adjusted Performance for SIIT LARGE.
Methodology, Assumptions & Data Sources
SIIT LARGE has a current Risk Adjusted Performance reading of 0.1135. The Risk Adjusted Performance for SIIT LARGE applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. SIIT LARGE operates in the large blend sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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