Schwab Large Market Risk Adjusted Performance
| SCHG ETF | | | USD 34.12 0.23 0.68% |
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 Schwab Large's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
Schwab Large has a Market Risk Adjusted Performance of 0.1466, indicating positive but modest risk-adjusted return. Schwab Large has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.1466 | |
| ER[a] | = | Expected return on investing in Schwab Large |
| 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, Schwab Large's Market Risk Adjusted Performance of 0.1466 is above the 0.08 group average. The range runs from -0.043 (Vanguard Short Term Investment Grade) to 0.1789 (SPDR Portfolio SAMPP). Schwab Large'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 Schwab Large 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.
Schwab Large records a Market Risk Adjusted Performance of
0.15 and a Maximum Drawdown of
4.91 , yielding roughly
33.52 units of Maximum Drawdown per Market Risk Adjusted Performance. This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for Schwab Large.
Methodology, Assumptions & Data Sources
Schwab Large's Market Risk Adjusted Performance currently stands at 0.1466. The Market Risk Adjusted Performance for Schwab Large 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. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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