AB VALUE Downside Deviation
| ABVCX Fund | | | USD 20.55 0.04 0.20% |
Downside Deviation (or DD) is measured by target semi-deviation (the square root of target semi-variance) and is termed downside risk. It is expressed in percentages and therefore allows for rankings in the same way as standard deviation. An intuitive way to view the downside risk is the annualized standard deviation of returns below the target. Below is AB VALUE's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
A Downside Deviation of 0.8373 for AB VALUE signals low price variability. This places AB VALUE at the lower end of the volatility range for AllianceBernstein Funds.
Downside Deviation | = | SQRT(DV) |
| = | 0.8373 | |
Downside Deviation Peers Comparison
The peer group averages 0.39 for Downside Deviation, with AB VALUE at 0.8373 falling above that level. Readings span 0.1383 (Versatile Bond Portfolio) to 0.743 (Voya Corporate Leaders). AB VALUE has exhibited greater price dispersion than the peer average over the measured period.
Downside Deviation Relative To Other Indicators
The chart below plots Downside Deviation against Maximum Drawdown for Ab Value and its peers. Each point represents one equity — position along the horizontal axis shows Downside Deviation 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.
AB VALUE's Maximum Drawdown of
3.50 runs about
4.18 times its Downside Deviation of
0.84 . This indicates Maximum Drawdown is significantly higher than Downside Deviation for AB VALUE.
Methodology, Assumptions & Data Sources
AB VALUE's Downside Deviation currently stands at 0.8373. Downside Deviation for AB VALUE is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. AB VALUE operates in the large value 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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