Invesco SAMPP Semi Variance
| XMMO ETF | | | USD 163.86 -4.74 -2.81% |
Semi-variance provides a good measure of downside volatility for equity or a portfolio. It is similar to variance, but it only looks at periods where the returns are less than the target or average level. Below is Invesco SAMPP's current Semi Variance with peer comparisons and related risk metrics.
Current Semi Variance Value
A Semi Variance of 1.43 for Invesco SAMPP signals moderate price variability. This places Invesco SAMPP within the typical volatility range for ETF.
Semi Variance | = | SUM(RET DEV)2N(ZERO) |
| = | 1.43 | |
| SUM | = | Summation notation |
| RET DEV | = | Actual return deviation over selected period |
| N(ZERO) | = | Number of points with returns less than zero |
Semi Variance Peers Comparison
Invesco SAMPP's Semi Variance of 1.43 falls above the 0.88 peer average. Values range from 0.4877 (BNY Mellon Large) to 1.4 (Goldman Sachs ActiveBeta), with wide dispersion across the group. Invesco SAMPP has exhibited greater price dispersion than the peer average over the measured period.
Semi Variance Relative To Other Indicators
The chart below plots Semi Variance against Maximum Drawdown for Invesco SAMPP and its peers. Each point represents one equity — position along the horizontal axis shows Semi 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.
Invesco SAMPP shows nearly
4.70 of Maximum Drawdown per unit of Semi Variance (
1.43 versus
6.72 ). This indicates Maximum Drawdown is significantly higher than Semi Variance for Invesco SAMPP.
Methodology, Assumptions & Data Sources
Invesco SAMPP has a current Semi Variance reading of 1.43. The Semi Variance for Invesco SAMPP is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
Other Technical Indicators