Semideviation
A measure of dispersion for the values of a data set falling below the observed mean or target value. Semideviation is the square root of semivariance, which is found by averaging the deviations of observed values that have a result that is less than the mean. The formula for semideviation is as follows:
Where:
n = the total number of observations below the mean
rt = the observed value
average = the mean or target value of a data set Investopedia Says:
In portfolio theory, semideviation evaluates the fluctuations in returns below the mean. It provides an effective measure of downside risk for a portfolio. It's similar to standard deviation, but it only looks at periods where the portfolio's return was less than the target or average level. This allows investors to see how much loss can be expected from a portfolio, instead of only looking at its expected fluctuations. Related Terms:
Asset Allocation
Downside Risk
Modern Portfolio Theory - MPT
Optimization
Semivariance
Standard Deviation
Variance
Volatility |