Innovator ETFs Downside Variance
| QTOC ETF | | | USD 37.30 -0.06 -0.16% |
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 Innovator ETFs's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
Innovator ETFs's Downside Variance of 1.09 reflects moderate price variability. This places Innovator ETFs within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 1.09 | |
| 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
Innovator ETFs's Downside Variance of 1.09 falls above the 0.69 peer average. Values range from 0.2977 (Pacer Funds Trust) to 1.54 (YieldMax Nasdaq 100), with wide dispersion across the group. Innovator ETFs 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 Innovator ETFs 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.
With Downside Variance at
1.09 and Maximum Drawdown at
5.47 , Innovator ETFs shows a
5.01 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Downside Variance for Innovator ETFs.
Methodology, Assumptions & Data Sources
The current Downside Variance for Innovator ETFs is 1.09. The Downside Variance for Innovator ETFs applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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