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SP 500 Downside Variance

SP
GSPC -- USA Index  

 3,370  9.87  0.29%

SP 500 downside-variance technical analysis lookup allows you to check this and other technical indicators for S&P 500 or any other equities. You can select from a set of available technical indicators by clicking on the link to the right. Please note, not all equities are covered by this module due to inconsistencies in global equity categorizations and data normalization technicques. Please check also Equity Screeners to view more equity screening tools
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S&P 500 has current Downside Variance of 0.8044. 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)2 
N(ER) 
 = 
0.8044
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 Comparison

S&P 500 cannot be rated in Downside Variance category at this point. It cannot be rated in Maximum Drawdown category at this point. reporting about  5.49  of Maximum Drawdown per Downside Variance. The ratio of Maximum Drawdown to Downside Variance for S&P 500 is roughly  5.49 
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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