The Walt Disney Company has current Downside Deviation of 0.4124. 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.
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Downside Deviation Comparison
The Walt Disney Company is rated # 4
in downside deviation category among related companies. It is currently under evaluation in maximum drawdown category among related companies reporting about 4.16
of Maximum Drawdown per Downside Deviation. The ratio of Maximum Drawdown to Downside Deviation for The Walt Disney Company is roughly 4.16
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.