Hennessy Japan Downside Deviation
| HJSIX Fund | | | USD 20.21 -0.02 -0.1% |
Observed values used to calculate the Downside Deviation technical indicator for Hennessy Japan Small. Technical inputs may vary across markets and data providers.
Hennessy Japan Small has current Downside Deviation of 1.32. Downside Deviation (or DD) is measured by target semi-deviation (the square root of target semi-variance) and is termed downside risk. It is expressed in percentages and therefore allows for rankings in the same way as standard deviation. An intuitive way to view the downside risk is the annualized standard deviation of returns below the target.
Downside Deviation | = | SQRT(DV) |
| = | 1.32 | |
Downside Deviation Peers Comparison
Downside Deviation Relative To Other Indicators
Hennessy Japan Small ranks first in downside deviation among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
4.77 of Maximum Drawdown per Downside Deviation. At
4.77 , Hennessy Japan Small's Maximum Drawdown-to-Downside Deviation multiple reflects the spread between these metrics
It is the square root of 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 most private investors.
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