Royce Opportunity Market Risk Adjusted Performance
| RYOFX Fund | | | USD 17.57 -0.17 -0.96% |
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 Royce Opportunity's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
At 0.1513, Royce Opportunity's Market Risk Adjusted Performance indicates positive but modest risk-adjusted return. Royce Opportunity has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.1513 | |
| ER[a] | = | Expected return on investing in Royce Opportunity |
| 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, Royce Opportunity's Market Risk Adjusted Performance of 0.1513 is above the 0.07 group average. The range runs from -0.0504 (Harbor Large Cap) to 0.1269 (Schwab Target 2040). Royce Opportunity'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 Royce Opportunity 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.
Royce Opportunity's Maximum Drawdown of
6.47 runs about
42.77 times its Market Risk Adjusted Performance of
0.15 . This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for Royce Opportunity.
Methodology, Assumptions & Data Sources
Royce Opportunity's Market Risk Adjusted Performance currently stands at 0.1513. The Market Risk Adjusted Performance for Royce Opportunity is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Royce Opportunity operates in the small value sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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