Vanguard Target Downside Variance
| VTTVX Fund | | | USD 20.93 -0.09 -0.43% |
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 Target's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
With Downside Variance at 0.3139, Vanguard Target shows low price variability. This places Vanguard Target at the lower end of the volatility range for Mutual Fund Funds.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.3139 | |
| 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 Target's Downside Variance of 0.3139 is below the 0.66 group average. The range runs from 0.2021 (Vanguard Target Retirement) to 1.21 (Vanguard Primecap Fund). Vanguard Target 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 Target 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 Target's Maximum Drawdown of
2.38 runs about
7.59 times its Downside Variance of
0.31 . This indicates Maximum Drawdown substantially exceeds Downside Variance for Vanguard Target.
Methodology, Assumptions & Data Sources
Vanguard Target's Downside Variance currently stands at 0.3139. The Downside Variance for Vanguard Target is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Vanguard Target operates in the target risk funds sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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