VANGUARD GLOBAL Downside Variance
| VMVFX Fund | | | USD 16.67 -0.02 -0.12% |
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 GLOBAL's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
VANGUARD GLOBAL's Downside Variance of 0.376 reflects low price variability. This places VANGUARD GLOBAL at the lower end of the volatility range for Mutual Fund Funds.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.376 | |
| 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 1.49 for Downside Variance, with VANGUARD GLOBAL at 0.376 falling below that level. Readings span 0.2643 (First Trust LongShort) to 2.82 (WisdomTree Emerging Markets). VANGUARD GLOBAL 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 Vanguard Global 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 GLOBAL's Maximum Drawdown of
2.18 runs about
5.79 times its Downside Variance of
0.38 . This indicates Maximum Drawdown substantially exceeds Downside Variance for VANGUARD GLOBAL.
Methodology, Assumptions & Data Sources
The current Downside Variance for VANGUARD GLOBAL is 0.376. This Downside Variance reading for VANGUARD GLOBAL results from applying the indicator's calculation rules to price and volume data over the selected window. 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.
Other Technical Indicators