What's new


  1. Nicole Seaman

    YouTube T1-12 Downside risk measures: semi-deviation, downside deviation, and Sortino ratio

    The two typical measures of downside risk focus on only the "bad" dispersion: Semi-deviation squares returns below the MEAN return, while downside deviation squares returns below a TARGET return (aka, minimum acceptable return, MAR). The Sortino Ratio divides by the downside deviation. David's...