Term Glossary

Metrics, Models & Concepts

Upside Variance


Upside variance is similar to regular variance, but only measures the volatility of downside performance above a certain threshold level of return. \begin{equation} UV(r)=E(r−E(r)|r\geq{R})^{2} = E(r^{2}|r\geq{R})-E(r|r\geq{R})^{2} \end{equation}

\(r\)
asset return
\(E(r)\)
asset expected return
\(R\)
threshold return


Function Reference
portfolio_upsideVariance, position_upsideVariance