ETF Series Downside Variance
| MSTB ETF | | | USD 42.66 0.59 1.40% |
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 ETF Series's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
With Downside Variance at 0.3696, ETF Series shows low price variability. This places ETF Series at the lower end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.3696 | |
| 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, ETF Series's Downside Variance is below the group average of 1.73. Peer readings range from 0.0244 (Innovator SAMPP 500) to 4.32 (SPDR SAMPP Telecom), reflecting wide dispersion across the sector. ETF Series 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 ETF Series 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.
ETF Series's Maximum Drawdown of
2.80 runs about
7.58 times its Downside Variance of
0.37 . This indicates Maximum Drawdown substantially exceeds Downside Variance for ETF Series.
Methodology, Assumptions & Data Sources
ETF Series' Downside Variance currently stands at 0.3696. Downside Variance for ETF Series is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
Other Technical Indicators