Macquarie Bank Risk Adjusted Performance
MBLPC Preferred Stock | 103.22 0.22 0.21% |
Macquarie |
| = | 0.0313 |
ER[a] | = | Expected return on investing in Macquarie Bank |
RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
STD[b] | = | Standard Deviation of selected market or benchmark. |
Macquarie Bank Risk Adjusted Performance Peers Comparison
Macquarie Risk Adjusted Performance Relative To Other Indicators
Macquarie Bank Ltd is rated below average in risk adjusted performance category among its peers. It is currently under evaluation in maximum drawdown category among its peers reporting about 42.51 of Maximum Drawdown per Risk Adjusted Performance. The ratio of Maximum Drawdown to Risk Adjusted Performance for Macquarie Bank Ltd is roughly 42.51
Risk Adjusted Performance |
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Macquarie Bank Technical Signals
All Macquarie Bank Technical Indicators
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Risk Adjusted Performance | 0.0313 | |||
Market Risk Adjusted Performance | (1.56) | |||
Mean Deviation | 0.223 | |||
Semi Deviation | 0.2718 | |||
Downside Deviation | 0.3205 | |||
Coefficient Of Variation | 1657.41 | |||
Standard Deviation | 0.2985 | |||
Variance | 0.0891 | |||
Information Ratio | (0.05) | |||
Jensen Alpha | 0.0081 | |||
Total Risk Alpha | (0.0008) | |||
Sortino Ratio | (0.05) | |||
Treynor Ratio | (1.57) | |||
Maximum Drawdown | 1.33 | |||
Value At Risk | (0.52) | |||
Potential Upside | 0.5745 | |||
Downside Variance | 0.1027 | |||
Semi Variance | 0.0739 | |||
Expected Short fall | (0.22) | |||
Skewness | (0.05) | |||
Kurtosis | 0.3008 |