Fidelity MSCI Downside Variance
| FENY ETF | | | USD 31.05 -0.89 -2.79% |
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 MSCI's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
Fidelity MSCI has a Downside Variance of 2.41, indicating moderate price variability. This places Fidelity MSCI within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 2.41 | |
| 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
Fidelity MSCI's Downside Variance of 2.41 falls above the 1.26 peer average. Values range from 0.514 (SPDR MSCI USA) to 2.91 (iShares MSCI Spain), with wide dispersion across the group. Fidelity MSCI 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 Fidelity MSCI 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 MSCI's Maximum Drawdown of
6.13 runs about
2.54 times its Downside Variance of
2.41 . This indicates Maximum Drawdown is significantly higher than Downside Variance for Fidelity MSCI.
Methodology, Assumptions & Data Sources
The current Downside Variance for Fidelity MSCI is 2.41. The Downside Variance for Fidelity MSCI is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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