Term Glossary

Metrics, Models & Concepts

Gain Variance


Gain variance is similar to regular variance, but only measures the volatility of upside performance. \begin{equation} GV(r)=E(r−E(r)|r\geq{0})^{2} = E(r^{2}|r\geq{0})-E(r|r\geq{0})^{2} \end{equation}

\(r\)
asset return


Function Reference
portfolio_gainVariance, position_gainVariance