First Trust Downside Deviation
| FXL ETF | | | USD 194.63 1.79 0.93% |
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 registers a Downside Deviation of 1.65, reflecting moderate price variability. This places First Trust within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 1.65 | |
Downside Deviation Peers Comparison
First Trust falls above the 0.99 peer average for Downside Deviation. First Trust Large leads at 1.37 while FT Cboe Vest registers the lowest at 0.4113. 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.
The Maximum Drawdown-to-Downside Deviation ratio for First Trust sits near
4.91 , with Downside Deviation at
1.65 and Maximum Drawdown at
8.11 . 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 1.65. This Downside Deviation reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
Other Technical Indicators