IShares MSCI Downside Variance
| EWI ETF | | | USD 59.13 0.75 1.28% |
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 MSCI's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
The Downside Variance of 2.82 for IShares MSCI indicates moderate price variability. This places IShares MSCI within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 2.82 | |
| 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
IShares MSCI falls above the 1.67 peer average for Downside Variance. iShares Transportation Average leads at 2.74 while iShares Healthcare Providers registers the lowest at 1.19. IShares MSCI 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 IShares MSCI 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.
At
2.82 for Downside Variance and
6.57 for Maximum Drawdown, IShares MSCI's cross-indicator ratio sits almost
2.33 . This indicates Maximum Drawdown is significantly higher than Downside Variance for IShares MSCI.
Methodology, Assumptions & Data Sources
IShares MSCI has a current Downside Variance reading of 2.82. Downside Variance for IShares MSCI is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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