BMO Low Downside Variance
| ZLI Etf | | | CAD 29.03 -0.11 -0.38% |
The Downside Variance technical lookup provides context for BMO Low Volatility and related instruments. Coverage varies by data normalization and availability; see
Equity Screeners for broader screening context.
Your Current Watchlist provides context for diversified portfolio construction. Such insight adds context to allocation decisions within a diversified portfolio. This reflects a position in BMO Low Volatility within the portfolio mix. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as
signals in inflation.
BMO Low Volatility has current Downside Variance of 0.7094. 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) |
| = | 0.7094 | |
| 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 |
BMO Low Downside Variance Peers Comparison
BMO Downside Variance Relative To Other Indicators
BMO Low Volatility takes the leading position in downside variance against similar ETFs. It is currently under evaluation in maximum drawdown against similar ETFs producing
5.64 in Maximum Drawdown for each unit of Downside Variance. The spread between Maximum Drawdown and Downside Variance for BMO Low Volatility sits at
5.64 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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