GOLDMAN SACHS Downside Variance
| GDFIX Fund | | | USD 9.78 -0.01 -0.10% |
The Downside Variance indicator for GOLDMAN SACHS is constructed from normalized market data. All inputs reflect available trading data across supported markets. Use
Risk vs Return Analysis to explore diversified allocation structure. Understanding allocation structure supports portfolio context. The overall portfolio profile is shaped by the distribution of its holdings. The portfolio reflects a holding in Goldman Sachs Short. The position falls within the allocation view. The allocation approach determines the relative weighting of each position. This information is provided for contextual purposes. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as
signals in gross domestic product.
Goldman Sachs Short has current Downside Variance of 0.0239. 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) |
| = | 0.0239 | |
| 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
Goldman Sachs Short is rated
fourth in downside variance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
34.09 of Maximum Drawdown per Downside Variance. At
34.09 , Goldman Sachs Short'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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