First Trust Downside Variance
| QCLN ETF | | | USD 60.66 -1.47 -2.37% |
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 First Trust's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
A Downside Variance of 7.84 for First Trust signals elevated price variability. This places First Trust toward the higher end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 7.84 | |
| 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
The peer group averages 1.48 for Downside Variance, with First Trust at 7.84 falling above that level. Readings span 0.1693 (Swan Hedged Equity) to 6.69 (Invesco WilderHill Clean). First Trust has exhibited greater 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 First Trust 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.
First Trust shows nearly
1.32 of Maximum Drawdown per unit of Downside Variance (
7.84 versus
10.32 ). This indicates Maximum Drawdown moderately exceeds Downside Variance for First Trust.
Methodology, Assumptions & Data Sources
First Trust's Downside Variance currently stands at 7.84. First Trust's Downside Variance is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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