Term Glossary

Metrics, Models & Concepts

Loss Variance


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

\(r\)
asset return
\(E(r)\)
asset expected-return


Function Reference
portfolio_lossVariance, position_lossVariance