T Rowe Downside Deviation
| TSPA ETF | | | USD 46.49 -0.02 -0.04% |
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 T Rowe's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
With Downside Deviation at 0.9521, T Rowe shows low price variability. This places T Rowe at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.9521 | |
Downside Deviation Peers Comparison
The peer group averages 1.02 for Downside Deviation, with T Rowe at 0.9521 falling below that level. Readings span 0.4889 (First Trust LongShort) to 1.72 (WisdomTree Emerging Markets). T Rowe 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 T Rowe 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.
T Rowe's Maximum Drawdown of
3.93 runs about
4.13 times its Downside Deviation of
0.95 . This indicates Maximum Drawdown is significantly higher than Downside Deviation for T Rowe.
Methodology, Assumptions & Data Sources
T Rowe's Downside Deviation currently stands at 0.9521. Downside Deviation for T Rowe is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
Other Technical Indicators