First Trust Downside Deviation
| FOCT ETF | | | USD 51.54 -0.02 -0.04% |
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 First Trust's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
A Downside Deviation of 0.6443 for First Trust signals low price variability. This places First Trust at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.6443 | |
Downside Deviation Peers Comparison
Relative to peers, First Trust's Downside Deviation is above the group average of 0.52. Peer readings range from 0.2604 (FT Cboe Vest) to 0.6049 (FT Cboe Vest), reflecting moderate dispersion across the sector. First Trust 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 First Trust 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.
Comparing Downside Deviation (
0.64 ) to Maximum Drawdown (
2.67 ) for First Trust yields a
4.14 multiple. This indicates Maximum Drawdown is significantly higher than Downside Deviation for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Downside Deviation currently stands at 0.6443. First Trust's Downside Deviation is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. 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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