Global X Downside Variance
| HAZ ETF | | | CAD 41.21 -0.26 -0.63% |
The Downside Variance calculation for Global X draws on price and volume history. Data availability for the calculation period determines indicator completeness.
Risk vs Return Analysis provides context for diversified portfolio design. Diversification analysis considers the interaction of positions within a portfolio. Tracking Global X Active in a portfolio provides context for performance attribution. Sector and industry exposure becomes visible in the portfolio breakdown. Broader economic conditions can influence Global X Active's ETF valuation — related indicators include
signals in state.
Global X Active has current Downside Variance of 0.5274. 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) |
| = | 0.5274 | |
| 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
#4 in downside variance against similar ETFs. It is currently under evaluation in maximum drawdown against similar ETFs producing
5.47 in Maximum Drawdown for each unit of Downside Variance. The spread between Maximum Drawdown and Downside Variance for Global X Active sits at
5.47 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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