SPDR Portfolio Semi Variance
| SPYD ETF | | | USD 46.66 -0.03 -0.06% |
Semi-variance provides a good measure of downside volatility for equity or a portfolio. It is similar to variance, but it only looks at periods where the returns are less than the target or average level. Below is SPDR Portfolio's current Semi Variance with peer comparisons and related risk metrics.
Current Semi Variance Value
SPDR Portfolio's Semi Variance of 0.3424 reflects low price variability. This places SPDR Portfolio at the lower end of the volatility range for ETF.
Semi Variance | = | SUM(RET DEV)2N(ZERO) |
| = | 0.3424 | |
| SUM | = | Summation notation |
| RET DEV | = | Actual return deviation over selected period |
| N(ZERO) | = | Number of points with returns less than zero |
Semi Variance Peers Comparison
Relative to peers, SPDR Portfolio's Semi Variance is below the group average of 2.4. Peer readings range from 0.4099 (Invesco SAMPP 500) to 12.13 (iShares MSCI South), reflecting wide dispersion across the sector. SPDR Portfolio has exhibited less price dispersion than the peer average over the measured period.
Semi Variance Relative To Other Indicators
The chart below plots Semi Variance against Maximum Drawdown for SPDR Portfolio and its peers. Each point represents one equity — position along the horizontal axis shows Semi 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 Semi Variance at
0.34 and Maximum Drawdown at
2.90 , SPDR Portfolio shows a
8.47 -to-one ratio between these indicators. This indicates Maximum Drawdown substantially exceeds Semi Variance for SPDR Portfolio.
Methodology, Assumptions & Data Sources
The current Semi Variance for SPDR Portfolio is 0.3424. This Semi Variance reading for SPDR Portfolio 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. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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