STRATEGIC ALLOCATION: Market Risk Adjusted Performance
| TWSMX Fund | | | USD 7.11 0.07 0.99% |
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 STRATEGIC ALLOCATION:'s current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
STRATEGIC ALLOCATION: has a Market Risk Adjusted Performance of 0.0787, indicating positive but modest risk-adjusted return. STRATEGIC ALLOCATION: has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.0787 | |
| ER[a] | = | Expected return on investing in STRATEGIC ALLOCATION: |
| 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
STRATEGIC ALLOCATION: falls above the -0.2 peer average for Market Risk Adjusted Performance. Nationwide Investor Destinations leads at 0.1001 while BlackRock Commodity Strategies registers the lowest at -2.3832. STRATEGIC ALLOCATION:'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 Strategic Allocation 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.
STRATEGIC ALLOCATION:'s Maximum Drawdown of
2.94 runs about
37.40 times its Market Risk Adjusted Performance of
0.08 . This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for STRATEGIC ALLOCATION:.
Methodology, Assumptions & Data Sources
STRATEGIC ALLOCATION:'s Market Risk Adjusted Performance currently stands at 0.0787. The Market Risk Adjusted Performance for STRATEGIC ALLOCATION: applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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