IShares Semi Variance
| JKI ETF | | | USD 84.50 0.05 0.06% |
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 IShares's current Semi Variance with peer comparisons and related risk metrics.
Current Semi Variance Value
IShares carries a Semi Variance of 0.4207, consistent with low price variability. This places IShares at the lower end of the volatility range for ETF.
Semi Variance | = | SUM(RET DEV)2N(ZERO) |
| = | 0.4207 | |
| 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
The peer group averages 0.91 for Semi Variance, with IShares at 0.4207 falling below that level. Readings span 0.1918 (Invesco Equal Weight) to 2.13 (Defiance ETFs). IShares 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 IShares 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.
At
0.42 for Semi Variance and
3.26 for Maximum Drawdown, IShares's cross-indicator ratio sits almost
7.75 . This indicates Maximum Drawdown substantially exceeds Semi Variance for IShares.
Methodology, Assumptions & Data Sources
The current Semi Variance for IShares is 0.4207. Semi Variance for IShares is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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