First Trust Downside Variance
| FTXL ETF | | | USD 241.64 13.83 6.07% |
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
First Trust registers a Downside Variance of 7.68, reflecting elevated price variability. This places First Trust toward the higher end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 7.68 | |
| 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, First Trust's Downside Variance of 7.68 is above the 4.34 group average. The range runs from 0.1293 (First Trust Exchange Traded) to 21.89 (Global X Blockchain). 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.
The Maximum Drawdown-to-Downside Variance ratio for First Trust sits near
1.34 , with Downside Variance at
7.68 and Maximum Drawdown at
10.29 . This indicates Maximum Drawdown moderately exceeds Downside Variance for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Downside Variance currently stands at 7.68. Downside Variance for First Trust is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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