SPDR MSCI Downside Variance
| CWI Etf | | | USD 36.80 -0.74 -1.97% |
The Downside Variance lookup presents technical context for SPDR MSCI ACWI and related instruments. Availability can vary by instrument;
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SPDR MSCI ACWI has current Downside Variance of 1.25. 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) |
| = | 1.25 | |
| 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 |
SPDR MSCI Downside Variance Peers Comparison
SPDR Downside Variance Relative To Other Indicators
SPDR MSCI ACWI places
fourth for downside variance across ETF peers. It is currently under evaluation for maximum drawdown across ETF peers recording roughly
4.75 in Maximum Drawdown for every unit of Downside Variance. Maximum Drawdown outpaces Downside Variance by
4.75 times for SPDR MSCI ACWI
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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