Downside deviation
Volatility measured on the losing returns only.
How to read it
The denominator of the Sortino ratio. Two investments with the same volatility can have very different downside deviation.
How to use it
Measures only the volatility that hurts.
In Kereon
Portfolio. Standard deviation of the losing days' returns, × √252.
Investing · price record. Root mean square of min(daily return, 0) over every day, × √252.
Also called: downside deviation, downside dev.