Term Glossary

Metrics, Models & Concepts

Upside/Downside Variance Ratio


Upside/Downside variance ratio relates return upside variance and downside variance at a certain return threshold level. Ratio greater (lower) then 1 manifest that upside returns are more (less) 'risky' that downside returns. \begin{equation} \text{UD Ratio}=\frac{UV}{DV} = \frac{E(r−E(r)|r\geq{R})^{2}}{E(r−E(r)|r\leq{R})^{2}} \end{equation}

\(UV\)
upside variance of asset returns at threshold return R
\(DV\)
downside variance of asset returns at threshold return R


Function Reference
portfolio_upsideDownsideVarianceRatio, position_upsideDownsideVarianceRatio