IShares ESG Semi Variance
| EAOR ETF | | | USD 37.31 -0.02 -0.05% |
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 IShares ESG's current Semi Variance with peer comparisons and related risk metrics.
Current Semi Variance Value
IShares ESG has a Semi Variance of 0.3298, indicating low price variability. This places IShares ESG at the lower end of the volatility range for ETF.
Semi Variance | = | SUM(RET DEV)2N(ZERO) |
| = | 0.3298 | |
| 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, IShares ESG's Semi Variance is below the group average of 0.66. Peer readings range from 0.1427 (AllianzIM Equity Buffer10) to 1.67 (Matthews China Active), reflecting wide dispersion across the sector. IShares ESG 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 IShares ESG 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.
IShares ESG's Semi Variance reads
0.33 while Maximum Drawdown reads
2.99 , a
9.06 ratio between the two. This indicates Maximum Drawdown substantially exceeds Semi Variance for IShares ESG.
Methodology, Assumptions & Data Sources
IShares ESG has a current Semi Variance reading of 0.3298. The Semi Variance for IShares ESG applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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