Goldman Sachs Downside Deviation
| GSSC ETF | | | USD 84.61 -0.32 -0.38% |
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 Goldman Sachs's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
Goldman Sachs registers a Downside Deviation of 1.37, reflecting moderate price variability. This places Goldman Sachs within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 1.37 | |
Downside Deviation Peers Comparison
Goldman Sachs falls above the 1.2 peer average for Downside Deviation. First Trust Developed leads at 1.63 while Tortoise North American registers the lowest at 0.7806. Goldman Sachs 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 Goldman Sachs 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.
With Downside Deviation at
1.37 and Maximum Drawdown at
5.21 , Goldman Sachs shows a
3.80 -to-one ratio between these indicators. This indicates Maximum Drawdown is significantly higher than Downside Deviation for Goldman Sachs.
Methodology, Assumptions & Data Sources
The current Downside Deviation for Goldman Sachs is 1.37. Downside Deviation for Goldman Sachs is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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