IShares Canadian Downside Variance
| XDV Etf | | | CAD 40.75 -0.47 -1.14% |
This dataset for iShares Canadian Select reflects inputs used in the Downside Variance calculation. Data coverage may vary across sources and reporting intervals.
Your Current Watchlist provides context for diversified portfolio design. Diversification analysis considers the interaction of positions within a portfolio. A position in iShares Canadian Select is indicated here. This is part of the broader portfolio composition. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as various price indices.
iShares Canadian Select has current Downside Variance of 0.8262. 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) |
| = | 0.8262 | |
| 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
iShares Canadian Select takes the leading position in downside variance against similar ETFs. It is currently under evaluation in maximum drawdown against similar ETFs producing
4.50 in Maximum Drawdown for each unit of Downside Variance. The spread between Maximum Drawdown and Downside Variance for iShares Canadian Select sits at
4.50 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 IShares Canadian to Peers
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