SAAT MODERATE Downside Variance
| SMSIX Fund | | | USD 12.85 -0.12 -0.93% |
Observed values used in the Downside Variance indicator for Saat Moderate Strategy are included in this dataset. The information is based on observed market data across timeframes. Review
World Market Map for context on portfolio diversification. The diversification view provides additional analytical depth. Portfolio construction reflects how positions are combined across holdings. No forward-looking guarantees are expressed or implied by this data. A position in Saat Moderate Strategy is indicated here. It is reflected in the overall portfolio structure. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as
signals in gross domestic product.
Saat Moderate Strategy has current Downside Variance of 0.1801. 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) |
| = | 0.1801 | |
| 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
Saat Moderate Strategy is rated
second in downside variance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
8.82 of Maximum Drawdown per Downside Variance. At
8.82 , Saat Moderate Strategy's Maximum Drawdown-to-Downside Variance multiple reflects the spread between these metrics
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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