Alerian Energy Downside Deviation
| ENFR ETF | | | USD 37.94 -0.96 -2.47% |
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 Alerian Energy's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
Alerian Energy carries a Downside Deviation of 0.9488, consistent with low price variability. This places Alerian Energy at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.9488 | |
Downside Deviation Peers Comparison
Alerian Energy falls below the 1.27 peer average for Downside Deviation. First Trust Natural leads at 2.04 while The Brinsmere registers the lowest at 0.5583. Alerian Energy has exhibited less 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 Alerian Energy 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.
Alerian Energy's Downside Deviation reads
0.95 while Maximum Drawdown reads
4.43 , a
4.67 ratio between the two. This indicates Maximum Drawdown is significantly higher than Downside Deviation for Alerian Energy.
Methodology, Assumptions & Data Sources
Alerian Energy's Downside Deviation currently stands at 0.9488. The Downside Deviation for Alerian Energy is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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