NORTHERN SMALL Market Risk Adjusted Performance
| NOSGX Fund | | | USD 11.53 0.15 1.32% |
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 NORTHERN SMALL's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
NORTHERN SMALL has a Market Risk Adjusted Performance of 6.27, indicating strong risk-adjusted return — return exceeds the risk taken. NORTHERN SMALL has delivered outsized return relative to total volatility, which is uncommon and indicates efficient risk compensation.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 6.27 | |
| ER[a] | = | Expected return on investing in NORTHERN SMALL |
| 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
NORTHERN SMALL falls above the -2.77 peer average for Market Risk Adjusted Performance. Lsv Small Cap leads at 10.25 while Congress Mid Cap registers the lowest at -30.455. NORTHERN SMALL'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 Northern Small 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.
NORTHERN SMALL's Maximum Drawdown of
4.92 runs about
0.79 times its Market Risk Adjusted Performance of
6.27 . This indicates Maximum Drawdown runs moderately below Market Risk Adjusted Performance for NORTHERN SMALL. At
1.27 , Northern Small Cap's Market Risk Adjusted Performance-to-Maximum Drawdown multiple reflects the spread between these metrics
Methodology, Assumptions & Data Sources
The current Market Risk Adjusted Performance for NORTHERN SMALL is 6.27. This Market Risk Adjusted Performance reading for NORTHERN SMALL results from applying the indicator's calculation rules to price and volume data over the selected window. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. NORTHERN SMALL operates in the small value funds sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The output reflects the selected calculation window — changing the horizon will produce different readings. This fund metric is provided for analytical reference.
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