AGFiQ Market Downside Variance
| QBTL Etf | | | CAD 14.76 -0.22 -1.47% |
Observed values used to calculate the Downside Variance technical indicator for AGFiQ Market Neutral. Technical inputs may vary across markets and data providers.
AGFiQ Market Neutral has current Downside Variance of 1.7. 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) |
| = | 1.7 | |
| 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
AGFiQ Market Neutral lands at
#2 in downside variance against similar ETFs. It is currently under evaluation in maximum drawdown against similar ETFs producing
3.84 in Maximum Drawdown for each unit of Downside Variance. The spread between Maximum Drawdown and Downside Variance for AGFiQ Market Neutral sits at
3.84 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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