First Trust Downside Variance
| FDEC ETF | | | USD 53.74 0.20 0.37% |
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
At 0.3658, First Trust exhibits low price variability in Downside Variance. This places First Trust at the lower end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.3658 | |
| 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
First Trust falls above the 0.31 peer average for Downside Variance. First Trust Exchange Traded leads at 0.4151 while FT Cboe Vest registers the lowest at 0.1768. First Trust 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 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.
With Downside Variance at
0.37 and Maximum Drawdown at
2.55 , First Trust shows a
6.96 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Downside Variance for First Trust.
Methodology, Assumptions & Data Sources
First Trust has a current Downside Variance reading of 0.3658. First Trust's Downside Variance is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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