Invesco QQQ Market Risk Adjusted Performance
| QQQ ETF | | | USD 694.94 -0.83 -0.12% |
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 QQQ's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
Invesco QQQ has a Market Risk Adjusted Performance of 0.1885, indicating positive but modest risk-adjusted return. Invesco QQQ has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.1885 | |
| ER[a] | = | Expected return on investing in Invesco QQQ |
| 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
Among sector peers, Invesco QQQ's Market Risk Adjusted Performance of 0.1885 is above the -0.04 group average. The range runs from -0.6751 (Vanguard Developed Markets) to 0.1354 (Vanguard Growth Index). Invesco QQQ'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 QQQ 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 QQQ's Market Risk Adjusted Performance reads
0.19 while Maximum Drawdown reads
4.50 , a
23.87 ratio between the two. This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for Invesco QQQ.
Methodology, Assumptions & Data Sources
The current Market Risk Adjusted Performance for Invesco QQQ is 0.1885. This Market Risk Adjusted Performance reading for Invesco QQQ results from applying the indicator's calculation rules to price and volume data over the selected window. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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