VANGUARD REIT Downside Variance
| VGSIX Fund | | | USD 29.49 -0.95 -3.12% |
This module presents the Downside Variance indicator for Vanguard Reit Index using available market inputs. The
Equity Screeners framework provides wider technical analysis context. For portfolio construction context, review
World Market Map. Diversification context helps frame allocation across holdings. The holding in Vanguard Reit Index represents an allocation. The weighting is determined by the allocation framework in use. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.
Vanguard Reit Index has current Downside Variance of 1.04. 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) |
| = | 1.04 | |
| 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
Vanguard Reit Index is rated
fifth in downside variance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
4.44 of Maximum Drawdown per Downside Variance. At
4.44 , Vanguard Reit Index'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.
Compare VANGUARD REIT to Peers
Other Technical Indicators