First Trust Downside Variance
| DTRE ETF | | | USD 42.14 0.13 0.31% |
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. Below is First Trust's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
First Trust carries a Downside Variance of 1.14, consistent with moderate price variability. This places First Trust within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 1.14 | |
| 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
Among sector peers, First Trust's Downside Variance of 1.14 is above the 0.9 group average. The range runs from 0.3193 (Pacer Funds Trust) to 2.45 (WisdomTree New Economy). First Trust has exhibited greater price dispersion than the peer average over the measured period.
Downside Variance Relative To Other Indicators
The chart below plots Downside Variance against Maximum Drawdown for First Trust and its peers. Each point represents one equity — position along the horizontal axis shows Downside 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 Downside Variance at
1.14 and Maximum Drawdown at
4.41 , First Trust shows a
3.86 -to-one ratio between these indicators. This indicates Maximum Drawdown is significantly higher than Downside Variance for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Downside Variance currently stands at 1.14. The Downside Variance for First Trust is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. 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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