Vanguard Small Downside Variance
| VB ETF | | | USD 284.39 5.16 1.85% |
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 Vanguard Small's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
A Downside Variance of 1.47 for Vanguard Small signals moderate price variability. This places Vanguard Small within the typical volatility range for ETF.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 1.47 | |
| 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
The peer group averages 1.09 for Downside Variance, with Vanguard Small at 1.47 falling above that level. Readings span 0.4873 (Vanguard Dividend Appreciation) to 3.06 (Vanguard Information Technology). Vanguard Small 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 Vanguard Small 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.
Vanguard Small's Maximum Drawdown of
5.44 runs about
3.69 times its Downside Variance of
1.47 . This indicates Maximum Drawdown is significantly higher than Downside Variance for Vanguard Small.
Methodology, Assumptions & Data Sources
The current Downside Variance for Vanguard Small is 1.47. Downside Variance for Vanguard Small is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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