First Trust Downside Variance
| FPA ETF | | | USD 54.24 2.27 4.37% |
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
The current Downside Variance of 5.07 places First Trust at elevated price variability. This places First Trust toward the higher end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 5.07 | |
| 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
Relative to peers, First Trust's Downside Variance is above the group average of 1.77. Peer readings range from 0.675 (RiverFront Dynamic Flex Cap) to 4.23 (VanEck Brazil Small Cap), reflecting wide dispersion across the sector. 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.
First Trust's Maximum Drawdown of
10.96 runs about
2.16 times its Downside Variance of
5.07 . 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 5.07. 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. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. 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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