Invesco SAMPP Downside Deviation
| RDIV ETF | | | USD 56.52 0.18 0.32% |
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 SAMPP's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
Invesco SAMPP carries a Downside Deviation of 0.6891, consistent with low price variability. This places Invesco SAMPP at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.6891 | |
Downside Deviation Peers Comparison
Invesco SAMPP falls below the 1.22 peer average for Downside Deviation. iShares MSCI Global leads at 2.56 while Invesco SAMPP MidCap registers the lowest at 0.7389. Invesco SAMPP 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 SAMPP 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 SAMPP produces
5.19 in Maximum Drawdown for each unit of Downside Deviation, with respective readings of
3.58 and
0.69 . This indicates Maximum Drawdown substantially exceeds Downside Deviation for Invesco SAMPP.
Methodology, Assumptions & Data Sources
The current Downside Deviation for Invesco SAMPP is 0.6891. Invesco SAMPP's Downside Deviation is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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