IShares MSCI Downside Deviation
| EWQ ETF | | | USD 46.72 1.60 3.55% |
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 MSCI's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
The current Downside Deviation of 1.44 places IShares MSCI at moderate price variability. This places IShares MSCI within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 1.44 | |
Downside Deviation Peers Comparison
The peer group averages 1.22 for Downside Deviation, with IShares MSCI at 1.44 falling above that level. Readings span 0.7544 (JPMorgan Diversified Return) to 1.73 (iShares MSCI Poland). IShares MSCI 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 MSCI 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.
IShares MSCI's Downside Deviation reads
1.44 while Maximum Drawdown reads
6.63 , a
4.60 ratio between the two. This indicates Maximum Drawdown is significantly higher than Downside Deviation for IShares MSCI.
Methodology, Assumptions & Data Sources
The current Downside Deviation for IShares MSCI is 1.44. The Downside Deviation for IShares MSCI 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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