Schwab Mortgage Downside Variance
| SMBS ETF | | | 25.55 0.09 0.35% |
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 Schwab Mortgage's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
The Downside Variance of 0.1182 for Schwab Mortgage indicates low price variability. This places Schwab Mortgage at the lower end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.1182 | |
| 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
Schwab Mortgage falls below the 0.12 peer average for Downside Variance. Quaker Investment Trust leads at 0.1616 while FlexShares Disciplined Duration registers the lowest at 0.0929. Schwab Mortgage 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 Schwab Mortgage 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 (
0.12 ) to Maximum Drawdown (
1.38 ) for Schwab Mortgage yields a
11.72 multiple. This indicates Maximum Drawdown substantially exceeds Downside Variance for Schwab Mortgage.
Methodology, Assumptions & Data Sources
Schwab Mortgage has a current Downside Variance reading of 0.1182. This Downside Variance reading for Schwab Mortgage results from applying the indicator's calculation rules to price and volume data over the selected window. 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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