Cambria Value Market Risk Adjusted Performance
| VAMO ETF | | | USD 35.57 0.02 0.06% |
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 Cambria Value's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
With Market Risk Adjusted Performance at 0.075, Cambria Value shows positive but modest risk-adjusted return. Cambria Value has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.075 | |
| ER[a] | = | Expected return on investing in Cambria Value |
| 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
The peer group averages 0.12 for Market Risk Adjusted Performance, with Cambria Value at 0.075 falling below that level. Readings span 0.0126 (Invesco SAMPP 500) to 0.3063 (Matthews International Funds). Cambria Value's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Market Risk Adjusted Performance Relative To Other Indicators
The chart below plots Market Risk Adjusted Performance against Maximum Drawdown for Cambria Value 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.
Cambria Value shows nearly
54.49 of Maximum Drawdown per unit of Market Risk Adjusted Performance (
0.08 versus
4.09 ). This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for Cambria Value.
Methodology, Assumptions & Data Sources
Cambria Value's Market Risk Adjusted Performance currently stands at 0.075. Cambria Value's Market 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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