First Trust Downside Variance
| FAAR ETF | | | USD 33.94 -0.10 -0.29% |
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 First Trust's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
A Downside Variance of 1.22 for First Trust signals moderate price variability. This places First Trust within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 1.22 | |
| 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
The peer group averages 1.4 for Downside Variance, with First Trust at 1.22 falling below that level. Readings span 0.0504 (Touchstone ETF Trust) to 2.52 (First Trust NASDAQ). First Trust 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 First Trust 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.
First Trust's Downside Variance reads
1.22 while Maximum Drawdown reads
6.30 , a
5.15 ratio between the two. This indicates Maximum Drawdown substantially exceeds Downside Variance for First Trust.
Methodology, Assumptions & Data Sources
First Trust has a current Downside Variance reading of 1.22. The Downside Variance for First Trust is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. 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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