J Sainsbury Downside Variance
| JSNSF Stock | | | USD 4.75 0.18 3.94% |
The Downside Variance indicator for J Sainsbury is constructed from normalized market data. Values reflect historical observations within the available dataset. J Sainsbury has a market cap of 7.5 B, operating margin of 3.38%, ROE of 7.78%.
Risk vs Return Analysis adds portfolio-level perspective. The allocation shows a weighting toward J Sainsbury plc. The sizing of each position reflects the overall allocation strategy. Also, note that the market value of any otc stock could be closely tied with the direction of predictive economic indicators such as
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J Sainsbury plc has current Downside Variance of 50.43. 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) |
| = | 50.43 | |
| 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
J Sainsbury plc holds the top spot in downside variance across its competitive set. It is currently under evaluation in maximum drawdown across its competitive set at roughly
0.55 Maximum Drawdown per unit of Downside Variance. J Sainsbury plc carries a
1.81 x Downside Variance-to-Maximum Drawdown ratio
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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