ETF Series Market Risk Adjusted Performance
| TRFM ETF | | | USD 57.43 1.35 2.41% |
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 ETF Series's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
ETF Series has a Market Risk Adjusted Performance of 0.2192, indicating positive but modest risk-adjusted return. ETF Series has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.2192 | |
| ER[a] | = | Expected return on investing in ETF Series |
| 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, ETF Series's Market Risk Adjusted Performance of 0.2192 is above the 0.13 group average. The range runs from 0.0407 (God Bless America) to 0.1916 (Spear Alpha ETF). ETF Series'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 ETF Series 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.
ETF Series shows nearly
33.48 of Maximum Drawdown per unit of Market Risk Adjusted Performance (
0.22 versus
7.34 ). This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for ETF Series.
Methodology, Assumptions & Data Sources
ETF Series' Market Risk Adjusted Performance currently stands at 0.2192. This Market Risk Adjusted Performance reading for ETF Series results from applying the indicator's calculation rules to price and volume data over the selected window. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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