Global X Downside Variance
| HAF Etf | | | CAD 6.87 -0.05 -0.72% |
The Downside Variance profile for Global X Active is based on historical price and volume observations. All inputs reflect available trading data across supported markets. Normalization methods and data feeds may affect reported values.
Risk vs Return Analysis provides a view into diversified allocation design. Understanding allocation structure supports portfolio context. Diversification context is built from the relationships between portfolio holdings. This summary reflects available observations without forecasting intent. This captures an allocation to Global X Active. This is part of the broader portfolio composition. How positions are weighted depends on the construction approach used. All values are based on available data and provided as reference information. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as
signals in inflation.
Global X Active has current Downside Variance of 0.1788. 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) |
| = | 0.1788 | |
| 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
Global X Active lands at
#5 in downside variance against similar ETFs. It is currently under evaluation in maximum drawdown against similar ETFs producing
9.73 in Maximum Drawdown for each unit of Downside Variance. The spread between Maximum Drawdown and Downside Variance for Global X Active sits at
9.73 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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