IShares SAMPPTSX Downside Variance
| XMA Etf | | | CAD 46.85 0.13 0.28% |
The Downside Variance technical lookup provides context for iShares SAMPPTSX Capped and related instruments. Availability can vary by instrument;
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iShares SAMPPTSX Capped has current Downside Variance of 13.46. 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) |
| = | 13.46 | |
| 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 |
IShares SAMPPTSX Downside Variance Peers Comparison
IShares Downside Variance Relative To Other Indicators
iShares SAMPPTSX Capped takes the leading position in downside variance against similar ETFs. It is currently under evaluation in maximum drawdown against similar ETFs producing
1.03 in Maximum Drawdown for each unit of Downside Variance. The spread between Maximum Drawdown and Downside Variance for iShares SAMPPTSX Capped sits at
1.03 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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