IShares Core Downside Deviation
| IEMG ETF | | | USD 78.06 -0.11 -0.14% |
Downside Deviation (or DD) is measured by target semi-deviation (the square root of target semi-variance) and is termed downside risk. It is expressed in percentages and therefore allows for rankings in the same way as standard deviation. An intuitive way to view the downside risk is the annualized standard deviation of returns below the target. Below is IShares Core's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
A Downside Deviation of 1.8 for IShares Core signals moderate price variability. This places IShares Core within the typical volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 1.8 | |
Downside Deviation Peers Comparison
Relative to peers, IShares Core's Downside Deviation is above the group average of 1.08. Peer readings range from 0.6971 (Vanguard Dividend Appreciation) to 1.35 (iShares Core MSCI), reflecting moderate dispersion across the sector. IShares Core has exhibited greater price dispersion than the peer average over the measured period.
Downside Deviation Relative To Other Indicators
The chart below plots Downside Deviation against Maximum Drawdown for IShares Core and its peers. Each point represents one equity — position along the horizontal axis shows Downside Deviation 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.
IShares Core records a Downside Deviation of
1.80 and a Maximum Drawdown of
7.34 , yielding roughly
4.08 units of Maximum Drawdown per Downside Deviation. This indicates Maximum Drawdown is significantly higher than Downside Deviation for IShares Core.
Methodology, Assumptions & Data Sources
IShares Core's Downside Deviation currently stands at 1.8. IShares Core's Downside Deviation is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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