FT Cboe Semi Variance
| DJUN ETF | | | USD 48.85 0.03 0.06% |
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 FT Cboe's current Semi Variance with peer comparisons and related risk metrics.
Current Semi Variance Value
FT Cboe has a Semi Variance of 0.0888, indicating low price variability. This places FT Cboe at the lower end of the volatility range for ETF.
Semi Variance | = | SUM(RET DEV)2N(ZERO) |
| = | 0.0888 | |
| 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
Relative to peers, FT Cboe's Semi Variance is below the group average of 0.12. Peer readings range from 0.0612 (AllianzIM Equity Buffer20) to 0.2826 (Innovator SAMPP 500), reflecting wide dispersion across the sector. FT Cboe 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 FT Cboe 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.
FT Cboe shows nearly
20.44 of Maximum Drawdown per unit of Semi Variance (
0.09 versus
1.82 ). This indicates Maximum Drawdown substantially exceeds Semi Variance for FT Cboe.
Methodology, Assumptions & Data Sources
FT Cboe has a current Semi Variance reading of 0.0888. This Semi Variance reading for FT Cboe 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 output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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