Franklin Liberty Downside Deviation vs. Value At Risk

FLMI Etf  USD 24.42  0.01  0.04%   
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Franklin Liberty Intermediate has current Downside Deviation of 0.2869. Downside Deviation (or DD) is measured by target semi-deviation (the square root of target semi-variance) and is termed downside risk. It is expressed in percentages and therefore allows for rankings in the same way as standard deviation. An intuitive way to view the downside risk is the annualized standard deviation of returns below the target.

Downside Deviation

=

SQRT(DV)

 = 
0.2869
SQRT = Square root notation
DV =   Downside Variance of returns over selected period

Franklin Liberty Downside Deviation Peers Comparison

Franklin Downside Deviation Relative To Other Indicators

Franklin Liberty Intermediate is rated # 4 ETF in downside deviation as compared to similar ETFs. It is currently under evaluation in value at risk as compared to similar ETFs .
It is the square root of 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 most private investors.
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