Trustia Docs
  • Welcome to Trustia's Documentation
  • Systematic Investing
    • Introduction
    • Guide to launch your strategy
      • Requirements
      • Step 1 - Strategy Configuration
        • Weighting Selection
          • Strategy Selection
          • Minimum and Maximum Allocation Selection
          • Additional Parameters selection
        • Ocurence rebalancement Selection
        • Capital Protection Configuration
          • Enable Capital Protection
          • Floor Percentage Configuration
          • Multiplier configuration
        • Exchange configuration
          • Exchange API Key
          • Invested Amount
        • AI Asset Selector
          • Asset Pool Size
          • Include / Exclude Categories
        • Validate the configuration
      • Step 2 - Assets selection
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        • Search Assets
        • Validate Assets selection
      • Step 3 - Backtest & launch
        • Compare your results
        • Global Information
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        • Trustia Charts Generator
          • Portfolio Performance
          • Drawdown
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          • Portfolio vs Components
          • Ratios Analysis
          • Efficiency Frontier
          • Historical Volatility
          • Values at Risk
          • Covariance Matrix
          • Correlation Matrix
        • Launch your Strategy
    • Features
      • Innovative Weighting Strategies: A Customized Approach
      • Dynamic Asset Allocation
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    • Algorithms Models
      • Equal
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      • Maximum Sharpe Ratio
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    • Available Trading Platforms
      • Binance Connect
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      • Coming Soon DEX / CEX
  • Risk management Framework
    • Capital Protection
    • Risk Measures
      • Average Returns
      • Adjusted Returns
      • Volatility
      • Maximum Drawdown
      • Downside Deviation
      • Ordinary Least Squares Method
    • Values at Risk
      • Historical VaR
      • Variance-Covariance VaR
      • Monte Carlo VaR
    • Ratios
      • Sharpe Ratio
      • Calmar Ratio
      • Treynor Ratio
      • Sortino Ratio
    • Backtesting Framework
      • Features
      • Monte Carlo Simulations
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  1. Risk management Framework
  2. Risk Measures

Downside Deviation

Learn more about Downside Deviation

PreviousMaximum DrawdownNextOrdinary Least Squares Method

Last updated 10 months ago

Downside deviation is a statistical measure that evaluates the negative volatility of an investment's returns. It is used in the calculation of the Sortino ratio to evaluate the risk-adjusted performance of an investment.

Unlike standard deviation, which considers both positive and negative deviations of returns, downside deviation only considers negative returns. Therefore, it measures the volatility of potential losses of an investment.

More info : Investopedia

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