SPDR SAMPP Downside Variance
| KRE ETF | | | USD 70.71 0.79 1.13% |
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 SPDR SAMPP's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
SPDR SAMPP has a Downside Variance of 2.46, indicating moderate price variability. This places SPDR SAMPP within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 2.46 | |
| 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
SPDR SAMPP's Downside Variance of 2.46 falls above the 1.97 peer average. Values range from 0.4876 (First Trust North) to 7.85 (SPDR SAMPP Metals), with wide dispersion across the group. SPDR SAMPP has exhibited greater 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 SPDR 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.
With Downside Variance at
2.46 and Maximum Drawdown at
6.98 , SPDR SAMPP shows a
2.84 -to-one ratio between these indicators. This indicates Maximum Drawdown is significantly higher than Downside Variance for SPDR SAMPP.
Methodology, Assumptions & Data Sources
SPDR SAMPP has a current Downside Variance reading of 2.46. Downside Variance for SPDR SAMPP 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. 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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