IShares Core Downside Variance
| IVV ETF | | | USD 737.41 10.43 1.43% |
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 IShares Core's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
The current Downside Variance of 0.7757 places IShares Core at low price variability. This places IShares Core at the lower end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.7757 | |
| 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
Relative to peers, IShares Core's Downside Variance is below the group average of 1.42. Peer readings range from 0.5555 (iShares SAMPP 500) to 2.8 (iShares Broker Dealers Securities), reflecting wide dispersion across the sector. IShares Core 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 IShares Core 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.
IShares Core produces
4.81 in Maximum Drawdown for each unit of Downside Variance, with respective readings of
3.73 and
0.78 . This indicates Maximum Drawdown is significantly higher than Downside Variance for IShares Core.
Methodology, Assumptions & Data Sources
IShares Core has a current Downside Variance reading of 0.7757. This Downside Variance reading for IShares Core results from applying the indicator's calculation rules to price and volume data over the selected window. 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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