Campbell Systematic Risk Adjusted Performance

EBSAX Fund

USD 9.57 0.03 0.31%

Campbell Systematic risk-adjusted-performance technical analysis lookup allows you to check this and other technical indicators for Campbell Systematic Macro or any other equities. You can select from a set of available technical indicators by clicking on the link to the right. Please note, not all equities are covered by this module due to inconsistencies in global equity categorizations and data normalization technicques. Please check also Equity Screeners to view more equity screening tools

Campbell Systematic Macro has current Risk Adjusted Performance of 0.0139.

RAP

(ER[a] - RFR) * STD[b])/STD[b]

RFR

0.0139

ER[a]	=	Expected return on investing in Campbell Systematic
RFR	=	Risk Free Rate of return. Typically T-Bill Rate
STD[b]	=	Standard Deviation of selected market or benchmark.

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Campbell Systematic Risk Adjusted Performance Peers Comparison

Campbell Risk Adjusted Performance Relative To Other Indicators

Campbell Systematic Macro is rated # 4 fund in risk adjusted performance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about 217.71 of Maximum Drawdown per Risk Adjusted Performance. The ratio of Maximum Drawdown to Risk Adjusted Performance for Campbell Systematic Macro is roughly 217.71

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Campbell Systematic Technical Signals

All Campbell Systematic 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	0.0139
	Market Risk Adjusted Performance	0.0248
	Mean Deviation	0.4795
	Semi Deviation	0.6634
	Downside Deviation	0.7472
	Coefficient Of Variation	4873.18
	Standard Deviation	0.6408
	Variance	0.4106
	Information Ratio	(0.03)
	Jensen Alpha	(0)
	Total Risk Alpha	(0.01)
	Sortino Ratio	(0.03)
	Treynor Ratio	0.0148
	Maximum Drawdown	3.03
	Value At Risk	(1.26)
	Potential Upside	1.07
	Downside Variance	0.5583
	Semi Variance	0.4401
	Expected Short fall	(0.49)
	Skewness	(0.45)
	Kurtosis	0.6347

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