Downside Deviation: Targets and Calculation Explained
Summary
Hollow Point Trading explains how downside deviation depends on the chosen target and calculation convention. A hypothetical four-month sample of -2%, 0%, +2%, and +4% returns uses a zero monthly target to illustrate a discrete historical calculation and clarify which shortfalls count.
https://youtu.be/I7WpWPuz6-8
Downside deviation keeps the target and denominator explicit #Downs...
Downside deviation depends on both the target and the calculation convention. In a hypothetical four month sample, returns are minus two percent, zero percent, plus two percent and plus four percent. Choose a zero monthly target. We are illustrating a discrete historical calculation, not estimating every possible future loss. Keep only shortfall...
