Managed Volatility Risk Adjusted Performance
BRBPX Fund | USD 16.68 0.05 0.30% |
Managed |
| = | 0.0601 |
ER[a] | = | Expected return on investing in Managed Volatility |
RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
STD[b] | = | Standard Deviation of selected market or benchmark. |
Managed Volatility Risk Adjusted Performance Peers Comparison
Managed Risk Adjusted Performance Relative To Other Indicators
Managed Volatility Fund is second largest fund in risk adjusted performance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about 21.19 of Maximum Drawdown per Risk Adjusted Performance. The ratio of Maximum Drawdown to Risk Adjusted Performance for Managed Volatility Fund is roughly 21.19
Risk Adjusted Performance |
Compare Managed Volatility to Peers |
Thematic Opportunities
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Managed Volatility Technical Signals
All Managed Volatility Technical Indicators
Cycle Indicators | ||
Math Operators | ||
Math Transform | ||
Momentum Indicators | ||
Overlap Studies | ||
Pattern Recognition | ||
Price Transform | ||
Statistic Functions | ||
Volatility Indicators | ||
Volume Indicators |
Risk Adjusted Performance | 0.0601 | |||
Market Risk Adjusted Performance | 0.0842 | |||
Mean Deviation | 0.1787 | |||
Semi Deviation | 0.2267 | |||
Downside Deviation | 0.3699 | |||
Coefficient Of Variation | 838.52 | |||
Standard Deviation | 0.2566 | |||
Variance | 0.0659 | |||
Information Ratio | (0.23) | |||
Jensen Alpha | (0) | |||
Total Risk Alpha | (0.01) | |||
Sortino Ratio | (0.16) | |||
Treynor Ratio | 0.0742 | |||
Maximum Drawdown | 1.27 | |||
Value At Risk | (0.42) | |||
Potential Upside | 0.4266 | |||
Downside Variance | 0.1368 | |||
Semi Variance | 0.0514 | |||
Expected Short fall | (0.19) | |||
Skewness | (0.97) | |||
Kurtosis | 2.84 |