ETF Series Downside Variance
| TRFM ETF | | | USD 56.41 -1.02 -1.78% |
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 ETF Series's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
ETF Series carries a Downside Variance of 3.48, consistent with moderate price variability. This places ETF Series within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 3.48 | |
| 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
Among sector peers, ETF Series's Downside Variance of 3.48 is above the 2.72 group average. The range runs from 0.1862 (FT Cboe Vest) to 9.72 (Spear Alpha ETF). ETF Series 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 ETF Series 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.
ETF Series shows nearly
2.11 of Maximum Drawdown per unit of Downside Variance (
3.48 versus
7.34 ). This indicates Maximum Drawdown is significantly higher than Downside Variance for ETF Series.
Methodology, Assumptions & Data Sources
ETF Series' Downside Variance currently stands at 3.48. The Downside Variance for ETF Series is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. 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.
Other Technical Indicators