ITT Downside Variance
| ITT Stock | | | USD 216.58 -0.05 -0.02% |
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 ITT's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
ITT's Downside Variance of 3.42 reflects moderate price variability. This places ITT within the typical volatility range for Stock.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 3.42 | |
| 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
ITT's Downside Variance of 3.42 falls below the 4.23 peer average. Values range from 1.92 (IDEX Corporation) to 6.77 (Generac Holdings), with wide dispersion across the group. ITT 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 ITT 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.
Comparing Downside Variance (
3.42 ) to Maximum Drawdown (
9.74 ) for ITT yields a
2.84 multiple. This indicates Maximum Drawdown is significantly higher than Downside Variance for ITT.
Methodology, Assumptions & Data Sources
The current Downside Variance for ITT is 3.42. The Downside Variance for ITT applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. 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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