Invesco SAMPP Downside Deviation
| RSPN ETF | | | 61.49 -0.17 -0.28% |
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
The Downside Deviation of 1.26 for Invesco SAMPP indicates moderate price variability. This places Invesco SAMPP within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 1.26 | |
Downside Deviation Peers Comparison
Among sector peers, Invesco SAMPP's Downside Deviation of 1.26 is above the 1.09 group average. The range runs from 0.4992 (IQ Hedge Multi Strategy) to 1.74 (Invesco DWA SmallCap). Invesco SAMPP has exhibited greater 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 shows nearly
4.08 of Maximum Drawdown per unit of Downside Deviation (
1.26 versus
5.15 ). This indicates Maximum Drawdown is significantly higher than Downside Deviation for Invesco SAMPP.
Methodology, Assumptions & Data Sources
Invesco SAMPP has a current Downside Deviation reading of 1.26. Downside Deviation for Invesco SAMPP is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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