Invesco SAMPP Downside Variance
| RPG Etf | | | USD 47.95 0.74 1.57% |
Observed values used in the Downside Variance indicator for Invesco SAMPP 500 are included in this dataset. The information is based on observed market data across timeframes. For portfolio construction context, review
Your Equity Center. Clearer exposure analysis supports long-term portfolio balance. The portfolio reflects a holding in Invesco SAMPP 500. The weighting is visible within the allocation breakdown. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as
signals in employment.
Invesco SAMPP 500 has current Downside Variance of 2.09. 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.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 2.09 | |
| 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
Downside Variance Relative To Other Indicators
Invesco SAMPP 500 holds the top spot in downside variance relative to comparable ETFs. It is currently under evaluation in maximum drawdown relative to comparable ETFs at roughly
2.91 Maximum Drawdown per unit of Downside Variance. Invesco SAMPP 500 carries a
2.91 x Maximum Drawdown-to-Downside Variance ratio
Downside Variance is the probability-weighted squared below-target returns. The squaring of the below-target returns has the effect of penalizing failures at an exponential rate. This is consistent with observations made on the behavior of individual decision-making under.
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