SPDR MSCI Downside Variance
| WUTI Etf | | | USD 70.77 0.84 1.20% |
The Downside Variance indicator for SPDR MSCI World is derived from observed market data. Broader indicator relationships are reflected within
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SPDR MSCI World has current Downside Variance of 0.8414. 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) |
| = | 0.8414 | |
| 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
SPDR MSCI World falls in the
second position for downside variance relative to ETF peers. It is currently under evaluation for maximum drawdown relative to ETF peers reflecting a
6.63 ratio of Maximum Drawdown to Downside Variance. SPDR MSCI World's Maximum Drawdown exceeds Downside Variance by a factor of
6.63 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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