Mullen Downside Variance
| MTL Stock | | | CAD 16.15 0.08 0.50% |
Observed values used in the Downside Variance indicator for Mullen Group are included in this dataset. Market data gaps can influence the computed indicator values. Mullen has a market cap of 1.55 B, operating margin of 13.38%, ROE of 8.45%.
Correlation Analysis adds portfolio-level perspective. This includes a position in Mullen Group. The allocation reflects this within the position set. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as
signals in inflation.
Mullen Group has current Downside Variance of 5.22. 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) |
| = | 5.22 | |
| 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
Mullen Group takes the leading position in downside variance compared to key competitors. It is currently under evaluation in maximum drawdown compared to key competitors producing
2.32 in Maximum Drawdown for each unit of Downside Variance. The spread between Maximum Drawdown and Downside Variance for Mullen Group sits at
2.32 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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