Aqr Risk Downside Variance
| ARCIX Fund | | | USD 10.78 0.03 0.28% |
Technical inputs supporting the Downside Variance indicator for Aqr Risk Balanced Modities are shown here. Additional screening context is available through
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Trending Equities to better understand diversified portfolio construction. Broader allocation clarity strengthens diversification analysis. This reflects a position in Aqr Risk Balanced Modities. It is distributed across the allocation. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as
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Aqr Risk Balanced Modities has current Downside Variance of 2.8. 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) |
| = | 2.8 | |
| 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
Downside Variance Relative To Other Indicators
Aqr Risk Balanced Modities ranks first in downside variance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
2.57 of Maximum Drawdown per Downside Variance. At
2.57 , Aqr Risk Balanced Modities'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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