VANGUARD DIVERSIFIED Market Risk Adjusted Performance
| VDEQX Fund | | | USD 56.27 0.20 0.36% |
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 VANGUARD DIVERSIFIED's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
VANGUARD DIVERSIFIED carries a Market Risk Adjusted Performance of
-0.38, consistent with slightly negative risk-adjusted return. VANGUARD DIVERSIFIED's return has marginally failed to compensate for the volatility experienced.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | -0.38 | |
| ER[a] | = | Expected return on investing in VANGUARD DIVERSIFIED |
| 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 -1.18 for Market Risk Adjusted Performance, with VANGUARD DIVERSIFIED at -0.382 falling above that level. Readings span -3.4284 (Pzena Emerging Markets) to 0.5945 (Oakmark International Small). VANGUARD DIVERSIFIED'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 Vanguard Diversified 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.
Compare VANGUARD DIVERSIFIED to PeersMethodology, Assumptions & Data Sources
VANGUARD DIVERSIFIED's Market Risk Adjusted Performance currently stands at -0.38. Market Risk Adjusted Performance for VANGUARD DIVERSIFIED is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. VANGUARD DIVERSIFIED operates in the large growth sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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