First Trust Downside Variance
| FEMS ETF | | | USD 47.80 -0.67 -1.38% |
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
The Downside Variance of 1.83 for First Trust indicates moderate price variability. This places First Trust within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 1.83 | |
| 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 below the 2.23 peer average for Downside Variance. First Trust Energy leads at 3.68 while Invesco SAMPP MidCap registers the lowest at 1.13. 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.
Comparing Downside Variance (
1.83 ) to Maximum Drawdown (
6.33 ) for First Trust yields a
3.46 multiple. This indicates Maximum Drawdown is significantly higher than Downside Variance for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Downside Variance currently stands at 1.83. The Downside Variance for First Trust 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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