Vanguard Value Semi Variance
| VTV ETF | | | USD 205.78 -2.16 -1.04% |
Semi-variance provides a good measure of downside volatility for equity or a portfolio. It is similar to variance, but it only looks at periods where the returns are less than the target or average level. Below is Vanguard Value's current Semi Variance with peer comparisons and related risk metrics.
Current Semi Variance Value
At 0.3941, Vanguard Value's Semi Variance indicates low price variability. This places Vanguard Value at the lower end of the volatility range for ETF.
Semi Variance | = | SUM(RET DEV)2N(ZERO) |
| = | 0.3941 | |
| SUM | = | Summation notation |
| RET DEV | = | Actual return deviation over selected period |
| N(ZERO) | = | Number of points with returns less than zero |
Semi Variance Peers Comparison
Vanguard Value's Semi Variance of 0.3941 falls below the 0.91 peer average. Values range from 0.4379 (Vanguard Dividend Appreciation) to 1.52 (Vanguard FTSE Developed), with wide dispersion across the group. Vanguard Value has exhibited less price dispersion than the peer average over the measured period.
Semi Variance Relative To Other Indicators
The chart below plots Semi Variance against Maximum Drawdown for Vanguard Value and its peers. Each point represents one equity — position along the horizontal axis shows Semi 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 Value produces
8.23 in Maximum Drawdown for each unit of Semi Variance, with respective readings of
3.24 and
0.39 . This indicates Maximum Drawdown substantially exceeds Semi Variance for Vanguard Value.
Methodology, Assumptions & Data Sources
Vanguard Value has a current Semi Variance reading of 0.3941. This Semi Variance reading for Vanguard Value 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. The output reflects the selected calculation window — changing the horizon will produce different readings. This ETF metric is provided for analytical reference.
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