BacktestFolio · Glossary
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In plain language
Like the Sharpe, but penalises only downward oscillations: positive fluctuations do not lower the score. More useful than Sharpe for asymmetric portfolios where upside moves are desirable.
Technical definition
Variant of the Sharpe ratio that uses in the denominator only the deviation of months with returns below the threshold (risk-free rate divided by 12), instead of total volatility. If no month in the period is below the threshold the ratio is undefined and shown as “n/a”.