IShares Trust Downside Deviation
| EGUS ETF | | | 56.35 1.11 2.01% |
Downside Deviation (or DD) is measured by target semi-deviation (the square root of target semi-variance) and is termed downside risk. It is expressed in percentages and therefore allows for rankings in the same way as standard deviation. An intuitive way to view the downside risk is the annualized standard deviation of returns below the target. Below is IShares Trust's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
At 1.22, IShares Trust exhibits moderate price variability in Downside Deviation. This places IShares Trust within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 1.22 | |
Downside Deviation Peers Comparison
Among sector peers, IShares Trust's Downside Deviation of 1.22 is above the 0.95 group average. The range runs from 0.2072 (Innovator Equity Accelerated) to 1.6 (iShares Manufacturing ETF). IShares Trust has exhibited greater price dispersion than the peer average over the measured period.
Downside Deviation Relative To Other Indicators
The chart below plots Downside Deviation against Maximum Drawdown for IShares Trust and its peers. Each point represents one equity — position along the horizontal axis shows Downside Deviation 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.
Comparing Downside Deviation (
1.22 ) to Maximum Drawdown (
5.12 ) for IShares Trust yields a
4.21 multiple. This indicates Maximum Drawdown is significantly higher than Downside Deviation for IShares Trust.
Methodology, Assumptions & Data Sources
The current Downside Deviation for IShares Trust is 1.22. IShares Trust's Downside Deviation is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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