Invesco SAMPP Downside Variance
| IDHQ ETF | | | USD 40.60 1.29 3.28% |
Downside Variance (or DV) is measured by target semi-variance and is termed downside volatility. It is expressed in percentages and therefore allows for rankings in the same way as variance. One way to view downside volatility is the annualized variance of returns below the target. Below is Invesco SAMPP's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
At 2.43, Invesco SAMPP exhibits moderate price variability in Downside Variance. This places Invesco SAMPP within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 2.43 | |
| SUM | = | Summation notation |
| RET DEV | = | Actual returns deviation over selected period |
| N(ER) | = | Number of points with returns less than expected return for the period |
Downside Variance Peers Comparison
Invesco SAMPP falls below the 2.62 peer average for Downside Variance. Sprott Gold Miners leads at 14.78 while Pacer Funds Trust registers the lowest at 0.2288. Invesco SAMPP has exhibited less price dispersion than the peer average over the measured period.
Downside Variance Relative To Other Indicators
The chart below plots Downside Variance against Maximum Drawdown for Invesco SAMPP and its peers. Each point represents one equity — position along the horizontal axis shows Downside Variance 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.
Invesco SAMPP's Downside Variance reads
2.43 while Maximum Drawdown reads
7.51 , a
3.09 ratio between the two. This indicates Maximum Drawdown is significantly higher than Downside Variance for Invesco SAMPP.
Methodology, Assumptions & Data Sources
Invesco SAMPP's Downside Variance currently stands at 2.43. Downside Variance for Invesco SAMPP is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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