ETF Series Downside Deviation
| TRFM ETF | | | USD 56.54 -0.89 -1.55% |
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 ETF Series's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
The Downside Deviation of 1.87 for ETF Series indicates moderate price variability. This places ETF Series within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 1.87 | |
Downside Deviation Peers Comparison
Among sector peers, ETF Series's Downside Deviation of 1.87 is above the 1.34 group average. The range runs from 0.4315 (FT Cboe Vest) to 3.12 (Spear Alpha ETF). ETF Series 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 ETF Series 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.
ETF Series shows nearly
3.93 of Maximum Drawdown per unit of Downside Deviation (
1.87 versus
7.34 ). This indicates Maximum Drawdown is significantly higher than Downside Deviation for ETF Series.
Methodology, Assumptions & Data Sources
The current Downside Deviation for ETF Series is 1.87. This Downside Deviation reading for ETF Series results from applying the indicator's calculation rules to price and volume data over the selected window. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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