FT Cboe Downside Deviation
| FAUG ETF | | | USD 55.58 0.15 0.27% |
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 FT Cboe's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
FT Cboe's Downside Deviation of 0.5832 reflects low price variability. This places FT Cboe at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.5832 | |
Downside Deviation Peers Comparison
FT Cboe's Downside Deviation of 0.5832 falls above the 0.56 peer average. Values range from 0.4204 (FT Cboe Vest) to 0.6443 (First Trust Exchange Traded), with tight clustering across the group. FT Cboe 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 FT Cboe 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.
FT Cboe records a Downside Deviation of
0.58 and a Maximum Drawdown of
2.57 , yielding roughly
4.41 units of Maximum Drawdown per Downside Deviation. This indicates Maximum Drawdown is significantly higher than Downside Deviation for FT Cboe.
Methodology, Assumptions & Data Sources
The current Downside Deviation for FT Cboe is 0.5832. The Downside Deviation for FT Cboe applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. 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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