First Trust Downside Deviation
| FTA ETF | | | USD 93.02 -0.55 -0.59% |
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
First Trust carries a Downside Deviation of 0.6745, consistent with low price variability. This places First Trust at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.6745 | |
Downside Deviation Peers Comparison
First Trust falls below the 1.2 peer average for Downside Deviation. Vanguard Momentum Factor leads at 1.73 while Invesco Dynamic Large registers the lowest at 0.6756. First Trust 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 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.
First Trust's Maximum Drawdown of
2.78 runs about
4.13 times its Downside Deviation of
0.67 . This indicates Maximum Drawdown is significantly higher than Downside Deviation for First Trust.
Methodology, Assumptions & Data Sources
First Trust has a current Downside Deviation reading of 0.6745. 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. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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