Innovator ETFs Downside Variance
| INOV ETF | | | USD 36.46 0.56 1.56% |
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 Innovator ETFs's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
Innovator ETFs has a Downside Variance of 0.7096, indicating low price variability. This places Innovator ETFs at the lower end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.7096 | |
| 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
Innovator ETFs's Downside Variance of 0.7096 falls below the 3.87 peer average. Values range from 0.0637 (ProShares Merger ETF) to 20.2 (Direxion Daily Pharmaceutical), with wide dispersion across the group. Innovator ETFs 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 Innovator ETFs 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.
Innovator ETFs produces
4.98 in Maximum Drawdown for each unit of Downside Variance, with respective readings of
3.53 and
0.71 . This indicates Maximum Drawdown is significantly higher than Downside Variance for Innovator ETFs.
Methodology, Assumptions & Data Sources
Innovator ETFs' Downside Variance currently stands at 0.7096. Innovator ETFs' 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. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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