Morgan Stanley Downside Deviation
| PHEQ ETF | | | 33.98 -0.01 -0.03% |
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 Morgan Stanley's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
With Downside Deviation at 0.4662, Morgan Stanley shows low price variability. This places Morgan Stanley at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.4662 | |
Downside Deviation Peers Comparison
The peer group averages 1.1 for Downside Deviation, with Morgan Stanley at 0.4662 falling below that level. Readings span 0.4264 (AIM ETF Products) to 2.25 (Procure Space ETF). Morgan Stanley 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 Morgan Stanley 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.
Morgan Stanley's Downside Deviation reads
0.47 while Maximum Drawdown reads
1.93 , a
4.15 ratio between the two. This indicates Maximum Drawdown is significantly higher than Downside Deviation for Morgan Stanley.
Methodology, Assumptions & Data Sources
The current Downside Deviation for Morgan Stanley is 0.4662. Downside Deviation for Morgan Stanley 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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