First Trust Downside Deviation
| LMBS ETF | | | USD 49.85 -0.02 -0.04% |
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
With Downside Deviation at 0.1493, First Trust shows low price variability. This places First Trust at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.1493 | |
Downside Deviation Peers Comparison
The peer group averages 1.01 for Downside Deviation, with First Trust at 0.1493 falling below that level. Readings span 0.6642 (WisdomTree LargeCap Dividend) to 1.24 (JPMorgan BetaBuilders Developed). First Trust 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 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.
Comparing Downside Deviation (
0.15 ) to Maximum Drawdown (
0.66 ) for First Trust yields a
4.45 multiple. This indicates Maximum Drawdown is significantly higher than Downside Deviation for First Trust.
Methodology, Assumptions & Data Sources
First Trust has a current Downside Deviation reading of 0.1493. This Downside Deviation reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. 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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