Stratified LargeCap Downside Variance
| SSPY ETF | | | USD 93.57 0.27 0.29% |
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 Stratified LargeCap's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
The current Downside Variance of 0.5224 places Stratified LargeCap at low price variability. This places Stratified LargeCap at the lower end of the volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.5224 | |
| 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
Relative to peers, Stratified LargeCap's Downside Variance is below the group average of 1.14. Peer readings range from 0.3021 (VictoryShares Multi Factor Minimum) to 3.17 (Invesco DWA Emerging), reflecting wide dispersion across the sector. Stratified LargeCap 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 Stratified LargeCap 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.
Stratified LargeCap's Maximum Drawdown of
3.27 runs about
6.25 times its Downside Variance of
0.52 . This indicates Maximum Drawdown substantially exceeds Downside Variance for Stratified LargeCap.
Methodology, Assumptions & Data Sources
Stratified LargeCap has a current Downside Variance reading of 0.5224. Downside Variance for Stratified LargeCap is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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