First Trust Downside Variance
| QSPT ETF | | | USD 33.74 -0.04 -0.12% |
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
First Trust registers a Downside Variance of 0.632, reflecting low price variability. This places First Trust at the lower end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.632 | |
| 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
Among sector peers, First Trust's Downside Variance of 0.632 is above the 0.35 group average. The range runs from 0.0851 (First Trust Exchange Traded) to 1.15 (JPMorgan Realty Income). 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.
Comparing Downside Variance (
0.63 ) to Maximum Drawdown (
3.05 ) for First Trust yields a
4.82 multiple. This indicates Maximum Drawdown is significantly higher than Downside Variance for First Trust.
Methodology, Assumptions & Data Sources
The current Downside Variance for First Trust is 0.632. This Downside Variance reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
Other Technical Indicators