National Bank Downside Variance
| NA Stock | | | CAD 207.84 1.17 0.57% |
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. Below is National Bank's current Downside Variance with peer comparisons and related risk metrics.
Current Downside Variance Value
National Bank has a Downside Variance of 1.11, indicating moderate price variability. This places National Bank within the typical volatility range for Diversified Banks.
Downside Variance | = | SUM(RET DEV)2N(ER) |
| = | 1.11 | |
| 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
The peer group averages 2.12 for Downside Variance, with National Bank at 1.11 falling below that level. Readings span 1.54 (Bank of Nova) to 3.0 (Power). National Bank has exhibited less price dispersion than the peer average over the measured period.
Downside Variance Relative To Other Indicators
The chart below plots Downside Variance against Maximum Drawdown for National Bank and its peers. Each point represents one equity — position along the horizontal axis shows Downside Variance while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
National Bank shows nearly
7.99 of Maximum Drawdown per unit of Downside Variance (
1.11 versus
8.89 ). This indicates Maximum Drawdown substantially exceeds Downside Variance for National Bank.
Methodology, Assumptions & Data Sources
National Bank has a current Downside Variance reading of 1.11. National Bank's Downside Variance is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. National Bank operates in the financial services sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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