Fidelity Low Downside Variance
| FDLO ETF | | | USD 69.14 -0.18 -0.26% |
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 Fidelity Low's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
Fidelity Low carries a Downside Variance of 0.4942, consistent with low price variability. This places Fidelity Low at the lower end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.4942 | |
| 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
Among sector peers, Fidelity Low's Downside Variance of 0.4942 is below the 0.8 group average. The range runs from 0.1526 (Aptus Defined Risk) to 1.6 (Schwab International Dividend). Fidelity Low 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 Fidelity Low 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.
Fidelity Low shows nearly
5.25 of Maximum Drawdown per unit of Downside Variance (
0.49 versus
2.60 ). This indicates Maximum Drawdown substantially exceeds Downside Variance for Fidelity Low.
Methodology, Assumptions & Data Sources
Fidelity Low has a current Downside Variance reading of 0.4942. The Downside Variance for Fidelity Low applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. 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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