Alpha Architect Downside Deviation
| QVAL ETF | | | USD 54.38 0.39 0.72% |
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 Alpha Architect's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
At 0.8471, Alpha Architect exhibits low price variability in Downside Deviation. This places Alpha Architect at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.8471 | |
Downside Deviation Peers Comparison
Among sector peers, Alpha Architect's Downside Deviation of 0.8471 is below the 1.3 group average. The range runs from 1.17 (PIMCO RAFI Dynamic) to 1.5 (iShares MSCI Japan). Alpha Architect 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 Alpha Architect 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.
The Maximum Drawdown-to-Downside Deviation ratio for Alpha Architect sits near
4.88 , with Downside Deviation at
0.85 and Maximum Drawdown at
4.14 . This indicates Maximum Drawdown is significantly higher than Downside Deviation for Alpha Architect.
Methodology, Assumptions & Data Sources
Alpha Architect has a current Downside Deviation reading of 0.8471. The Downside Deviation for Alpha Architect is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other 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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