Portfolio Analytics

Downside Deviation

Definition

What is Downside Deviation?

A measure of returns falling below a chosen minimum or target.

Example in practice

The Sortino ratio uses downside deviation instead of total volatility.

Keep learning

A statistic ranging from minus one to plus one that describes how two return series move together.

A relationship in which two assets tend to move in the same direction.

A relationship in which two assets tend to move in opposite directions.

An analysis of portfolio performance under severe but plausible scenarios.

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