IShares Global Downside Deviation
| IXP ETF | | | USD 125.00 -0.09 -0.07% |
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 Global's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
IShares Global's Downside Deviation of 0.9217 reflects low price variability. This places IShares Global at the lower end of the volatility range for ETF.
Downside Deviation | = | SQRT(DV) |
| = | 0.9217 | |
Downside Deviation Peers Comparison
IShares Global's Downside Deviation of 0.9217 falls below the 1.56 peer average. Values range from 0.7063 (ALPS Equal Sector) to 4.38 (iShares MSCI Global), with wide dispersion across the group. IShares Global has exhibited less 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 Global 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 Global's Downside Deviation reads
0.92 while Maximum Drawdown reads
4.20 , a
4.56 ratio between the two. This indicates Maximum Drawdown is significantly higher than Downside Deviation for IShares Global.
Methodology, Assumptions & Data Sources
IShares Global's Downside Deviation currently stands at 0.9217. This Downside Deviation reading for IShares Global results from applying the indicator's calculation rules to price and volume data over the selected window. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. 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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