ETFS Wheat Downside Deviation

WEAT -- UK ETF

USD 0.68 0.004 0.58%

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ETFS Wheat ETC has current Downside Deviation of 2.38. 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 downside risk is the annualized standard deviation of returns below the target.

ETFS Wheat

Downside Deviation

SQRT(DV)

2.38

SQRT	=	Square root notation
DV	=	Downside Variance of returns over selected period

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Downside Deviation Comparison

ETFS Wheat ETC cannot be rated in Downside Deviation category at this point. It cannot be rated in Maximum Drawdown category at this point. reporting about 4.34 of Maximum Drawdown per Downside Deviation. The ratio of Maximum Drawdown to Downside Deviation for ETFS Wheat ETC is roughly 4.34

It is the square root of 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 most private investors.

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Risk Adjusted Performance	0.0945
Market Risk Adjusted Performance	1.71
Mean Deviation	1.54
Semi Deviation	1.88
Downside Deviation	2.38
Coefficient Of Variation	510.05
Standard Deviation	2.13
Variance	4.54
Information Ratio	0.1757
Jensen Alpha	0.3997
Total Risk Alpha	0.2462
Sortino Ratio	0.1571
Treynor Ratio	1.7
Maximum Drawdown	10.34
Value At Risk	2.57
Potential Upside	3.28
Downside Variance	5.67
Semi Variance	3.52
Expected Short fall	1.69
Skewness	0.45
Kurtosis	1.88