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 only the downside deviation of returns below the target (downside deviation) in the denominator rather than total volatility; the target is the risk-free rate set by the user.