Invesco Global Downside Deviation
| IQSZ ETF | | | 30.45 -0.63 -2.03% |
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 Invesco Global's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
The current Downside Deviation of 1.07 places Invesco Global at moderate price variability. This places Invesco Global within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 1.07 | |
Downside Deviation Peers Comparison
The peer group averages 1.35 for Downside Deviation, with Invesco Global at 1.07 falling below that level. Readings span 0.8754 (Lattice Strategies Trust) to 2.44 (ProShares Ultra MidCap400). Invesco Global 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 Invesco Global 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.
Invesco Global's Maximum Drawdown of
4.37 runs about
4.09 times its Downside Deviation of
1.07 . This indicates Maximum Drawdown is significantly higher than Downside Deviation for Invesco Global.
Methodology, Assumptions & Data Sources
Invesco Global has a current Downside Deviation reading of 1.07. This Downside Deviation reading for Invesco Global results from applying the indicator's calculation rules to price and volume data over the selected window. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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