Sprott Gold Downside Variance
| SGDM ETF | | | USD 75.45 0.07 0.09% |
Downside Variance (or DV) is measured by target semi-variance and is termed downside volatility. It is expressed in percentages and therefore allows for rankings in the same way as variance. One way to view downside volatility is the annualized variance of returns below the target. Below is Sprott Gold's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
The Downside Variance of 14.78 for Sprott Gold indicates elevated price variability. This places Sprott Gold toward the higher end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 14.78 | |
| SUM | = | Summation notation |
| RET DEV | = | Actual returns deviation over selected period |
| N(ER) | = | Number of points with returns less than expected return for the period |
Downside Variance Peers Comparison
Sprott Gold falls above the 1.94 peer average for Downside Variance. First Trust NASDAQ leads at 7.92 while ALPS Equal Sector registers the lowest at 0.4624. Sprott Gold has exhibited greater price dispersion than the peer average over the measured period.
Downside Variance Relative To Other Indicators
The chart below plots Downside Variance against Maximum Drawdown for Sprott Gold and its peers. Each point represents one equity — position along the horizontal axis shows Downside Variance 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.
Sprott Gold shows nearly
0.97 of Maximum Drawdown per unit of Downside Variance (
14.78 versus
14.39 ). The two measures are closely aligned in magnitude for Sprott Gold. The spread between Downside Variance and Maximum Drawdown for Sprott Gold Miners sits at
1.03 Methodology, Assumptions & Data Sources
The current Downside Variance for Sprott Gold is 14.78. Sprott Gold's Downside Variance is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
Other Technical Indicators