VANGUARD SMALL-CAP Downside Variance
| VSGAX Fund | | | USD 120.69 0.71 0.59% |
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-CAP's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
The current Downside Variance of 2.38 places VANGUARD SMALL-CAP at moderate price variability. This places VANGUARD SMALL-CAP within the typical volatility range for Mutual Fund Funds.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 2.38 | |
| 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, VANGUARD SMALL-CAP's Downside Variance of 2.38 is above the 0.92 group average. The range runs from 0.1073 (Vanguard Mortgage Backed Securities) to 1.7 (Fidelity Advisor Equity). VANGUARD SMALL-CAP 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-CAP's Maximum Drawdown of
7.12 runs about
2.99 times its Downside Variance of
2.38 . This indicates Maximum Drawdown is significantly higher than Downside Variance for VANGUARD SMALL-CAP.
Methodology, Assumptions & Data Sources
The current Downside Variance for VANGUARD SMALL-CAP is 2.38. Downside Variance for VANGUARD SMALL-CAP 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. The output reflects the selected calculation window — changing the horizon will produce different readings. This fund metric is provided for analytical reference.
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