| 0P0001D8QF | | | CAD 18.38 0.12 0.66% |
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BMO Concentrated Global has current Downside Variance of 0.144. 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) |
| = | 0.144 | |
| 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 Concentrated Downside Variance Peers Comparison
BMO Downside Variance Relative To Other Indicators
BMO Concentrated Global is
third largest fund in downside variance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about
18.94 of Maximum Drawdown per Downside Variance. The ratio of Maximum Drawdown to Downside Variance for BMO Concentrated Global is roughly
18.94 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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