Term Glossary

Metrics, Models & Concepts

Gain/Loss Variance Ratio

Gain/Loss variance is simply a ratio of asset gain variance to loss variance. Ratio greater (lower) then 1 manifest that gains are more (less) 'risky' that losses. \begin{equation} \text{GL Ratio}=\frac{GV}{LV} = \frac{E(r−E(r)|r\geq{0})^{2}}{E(r−E(r)|r\leq{0})^{2}} \end{equation}

gain variance of asset returns
loss variance of asset returns

Gain/Loss variance ratio of Gaussian distribution is equal to 1.

Function Reference
portfolio_gainLossVarianceRatio, position_gainLossVarianceRatio