IShares ESG Downside Variance
| EAOA ETF | | | USD 44.53 0.71 1.62% |
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 IShares ESG's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
IShares ESG registers a Downside Variance of 0.7313, reflecting low price variability. This places IShares ESG at the lower end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.7313 | |
| 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, IShares ESG's Downside Variance of 0.7313 is below the 0.96 group average. The range runs from 0.0903 (First Trust Vivaldi) to 2.94 (First Trust S Network). IShares ESG has exhibited less 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 IShares ESG 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.
IShares ESG's Maximum Drawdown of
3.72 runs about
5.08 times its Downside Variance of
0.73 . This indicates Maximum Drawdown substantially exceeds Downside Variance for IShares ESG.
Methodology, Assumptions & Data Sources
IShares ESG has a current Downside Variance reading of 0.7313. This Downside Variance reading for IShares ESG 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. 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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