IShares MSCI Downside Variance
| THD ETF | | | USD 72.33 1.89 2.68% |
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 IShares MSCI's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
At 3.72, IShares MSCI exhibits moderate price variability in Downside Variance. This places IShares MSCI within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 3.72 | |
| 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
IShares MSCI falls above the 3.66 peer average for Downside Variance. Franklin FTSE South leads at 15.26 while iShares MSCI Malaysia registers the lowest at 1.25. IShares MSCI 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 IShares MSCI 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
3.72 and Maximum Drawdown at
9.14 , IShares MSCI shows a
2.46 -to-one ratio between these indicators. This indicates Maximum Drawdown is significantly higher than Downside Variance for IShares MSCI.
Methodology, Assumptions & Data Sources
The current Downside Variance for IShares MSCI is 3.72. Downside Variance for IShares MSCI is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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