STRATEGIC ALLOCATION: Downside Variance
| AAAIX Fund | | | USD 8.32 -0.04 -0.48% |
The Downside Variance technical lookup provides context for Strategic Allocation Aggressive and related instruments. Data availability can vary by region and feed;
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Strategic Allocation Aggressive has current Downside Variance of 0.5661. 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.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 0.5661 | |
| 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 |
STRATEGIC ALLOCATION: Downside Variance Peers Comparison
STRATEGIC Downside Variance Relative To Other Indicators
Strategic Allocation Aggressive is rated
third in downside variance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
13.76 of Maximum Drawdown per Downside Variance. At
13.76 , Strategic Allocation Aggressive's Maximum Drawdown-to-Downside Variance multiple reflects the spread between these metrics
Downside Variance is the probability-weighted squared below-target returns. The squaring of the below-target returns has the effect of penalizing failures at an exponential rate. This is consistent with observations made on the behavior of individual decision-making under.
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