Citigroup Downside Variance

C -- USA Stock  

USD 74.15  0.31  0.42%

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Citigroup has current Downside Variance of 0.6276. 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.
Citigroup 
Downside Variance 
 = 
SUM(RET DEV)2 
N(ER) 
 = 
0.6276
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

Citigroup is rated fifth in downside variance category among related companies. It is rated second in maximum drawdown category among related companies reporting about  6.38  of Maximum Drawdown per Downside Variance. The ratio of Maximum Drawdown to Downside Variance for Citigroup is roughly  6.38 
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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