ITT Semi Variance
| ITT Stock | | | USD 216.58 -0.05 -0.02% |
Semi-variance provides a good measure of downside volatility for equity or a portfolio. It is similar to variance, but it only looks at periods where the returns are less than the target or average level. Below is ITT's current Semi Variance with peer comparisons and related risk metrics.
Current Semi Variance Value
A Semi Variance of 2.97 for ITT signals moderate price variability. This places ITT within the typical volatility range for Stock.
Semi Variance | = | SUM(RET DEV)2N(ZERO) |
| = | 2.97 | |
| SUM | = | Summation notation |
| RET DEV | = | Actual return deviation over selected period |
| N(ZERO) | = | Number of points with returns less than zero |
Semi Variance Peers Comparison
ITT's Semi Variance of 2.97 falls below the 3.47 peer average. Values range from 1.76 (IDEX Corporation) to 5.56 (JB Hunt Transport), with wide dispersion across the group. ITT has exhibited less price dispersion than the peer average over the measured period.
Semi Variance Relative To Other Indicators
The chart below plots Semi Variance against Maximum Drawdown for ITT and its peers. Each point represents one equity — position along the horizontal axis shows Semi 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 Semi Variance (
2.97 ) to Maximum Drawdown (
9.74 ) for ITT yields a
3.28 multiple. This indicates Maximum Drawdown is significantly higher than Semi Variance for ITT.
Methodology, Assumptions & Data Sources
ITT's Semi Variance currently stands at 2.97. Semi Variance for ITT 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. 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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