Dimensional Emerging Semi Variance
| DFAE ETF | | | USD 40.22 0.80 2.03% |
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 Dimensional Emerging's current Semi Variance with peer comparisons and related risk metrics.
Current Semi Variance Value
Dimensional Emerging carries a Semi Variance of 2.21, consistent with moderate price variability. This places Dimensional Emerging within the typical volatility range for ETF.
Semi Variance | = | SUM(RET DEV)2N(ZERO) |
| = | 2.21 | |
| 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
The peer group averages 2.55 for Semi Variance, with Dimensional Emerging at 2.21 falling below that level. Readings span 0.368 (SPDR Portfolio SAMPP) to 12.57 (iShares MSCI South). Dimensional Emerging has exhibited less 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 Dimensional Emerging 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.
With Semi Variance at
2.21 and Maximum Drawdown at
7.21 , Dimensional Emerging shows a
3.26 -to-one ratio between these indicators. This indicates Maximum Drawdown is significantly higher than Semi Variance for Dimensional Emerging.
Methodology, Assumptions & Data Sources
Dimensional Emerging's Semi Variance currently stands at 2.21. The Semi Variance for Dimensional Emerging applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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