First Trust Downside Deviation
| FV ETF | | | USD 67.51 0.03 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
First Trust has a Downside Deviation of 1.34, indicating moderate price variability. This places First Trust within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 1.34 | |
Downside Deviation Peers Comparison
First Trust's Downside Deviation of 1.34 falls above the 1.02 peer average. Values range from 0.8283 (WisdomTree MidCap Dividend) to 1.21 (First Trust NASDAQ), with tight clustering across the group. 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.
First Trust produces
4.14 in Maximum Drawdown for each unit of Downside Deviation, with respective readings of
5.55 and
1.34 . 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 1.34. This Downside Deviation reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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