SPDR SAMPP Downside Deviation
| XTN ETF | | | USD 104.68 3.58 3.54% |
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 SPDR SAMPP's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
A Downside Deviation of 2.47 for SPDR SAMPP signals moderate price variability. This places SPDR SAMPP within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 2.47 | |
Downside Deviation Peers Comparison
Relative to peers, SPDR SAMPP's Downside Deviation is above the group average of 1.28. Peer readings range from 0.5931 (First Trust Exchange Traded) to 2.08 (SPDR SAMPP Telecom), reflecting wide dispersion across the sector. SPDR 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 SPDR 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.
SPDR SAMPP shows nearly
4.40 of Maximum Drawdown per unit of Downside Deviation (
2.47 versus
10.89 ). This indicates Maximum Drawdown is significantly higher than Downside Deviation for SPDR SAMPP.
Methodology, Assumptions & Data Sources
SPDR SAMPP has a current Downside Deviation reading of 2.47. This Downside Deviation reading for SPDR SAMPP 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. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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