SPDR Portfolio Risk Adjusted Performance
| SPTI ETF | | | USD 28.67 0.04 0.14% |
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 SPDR Portfolio's current Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Risk Adjusted Performance Value
The current Risk Adjusted Performance of 0.0092 places SPDR Portfolio at positive but modest risk-adjusted return. SPDR Portfolio has produced a positive return relative to risk, though the margin is limited.
RAP | = | (ER[a] - RFR) * STD[b])/STD[b]RFR |
| = | 0.0092 | |
Risk Adjusted Performance Peers Comparison
Relative to peers, SPDR Portfolio's Risk Adjusted Performance is below the group average of 0.02. Peer readings range from -0.0333 (iShares MSCI India) to 0.0715 (Vanguard Mega Cap), reflecting wide dispersion across the sector. SPDR Portfolio's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Risk Adjusted Performance Relative To Other Indicators
The chart below plots Risk Adjusted Performance against Maximum Drawdown for SPDR Portfolio 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.
At
0.01 for Risk Adjusted Performance and
1.09 for Maximum Drawdown, SPDR Portfolio's cross-indicator ratio sits almost
117.93 . This indicates Maximum Drawdown substantially exceeds Risk Adjusted Performance for SPDR Portfolio.
Methodology, Assumptions & Data Sources
SPDR Portfolio's Risk Adjusted Performance currently stands at 0.0092. SPDR Portfolio's Risk Adjusted Performance is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. 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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