Semideviation

Definition of 'Semideviation'


A measure of dispersion for the values of a data set falling below the observed mean or target value. Semideviation is the square root of semivariance, which is found by averaging the deviations of observed values that have a result that is less than the mean. The formula for semideviation is as follows:

Semideviation


Where:
n = the total number of observations below the mean
rt = the observed value
average = the mean or target value of a data set

Investopedia explains 'Semideviation'




In portfolio theory, semideviation evaluates the fluctuations in returns below the mean. It provides an effective measure of downside risk for a portfolio. It's similar to standard deviation, but it only looks at periods where the portfolio's return was less than the target or average level. This allows investors to see how much loss can be expected from a portfolio, instead of only looking at its expected fluctuations.


Filed Under:

comments powered by Disqus
Hot Definitions
  1. XW

    A symbol used to signify that a security is trading ex-warrant. XW is one of many alphabetic qualifiers that act as a shorthand to tell investors key information about a specific security in a stock quote. These qualifiers should not be confused with ticker symbols, some of which, like qualifiers, are just one or two letters.
  2. Quanto Swap

    A swap with varying combinations of interest rate, currency and equity swap features, where payments are based on the movement of two different countries' interest rates. This is also referred to as a differential or "diff" swap.
  3. Genuine Progress Indicator - GPI

    A metric used to measure the economic growth of a country. It is often considered as a replacement to the more well known gross domestic product (GDP) economic indicator. The GPI indicator takes everything the GDP uses into account, but also adds other figures that represent the cost of the negative effects related to economic activity (such as the cost of crime, cost of ozone depletion and cost of resource depletion, among others).
  4. Accelerated Share Repurchase - ASR

    A specific method by which corporations can repurchase outstanding shares of their stock. The accelerated share repurchase (ASR) is usually accomplished by the corporation purchasing shares of its stock from an investment bank. The investment bank borrows the shares from clients or share lenders and sells them to the company.
  5. Microeconomic Pricing Model

    A model of the way prices are set within a market for a given good. According to this model, prices are set based on the balance of supply and demand in the market. In general, profit incentives are said to resemble an "invisible hand" that guides competing participants to an equilibrium price. The demand curve in this model is determined by consumers attempting to maximize their utility, given their budget.
  6. Centralized Market

    A financial market structure that consists of having all orders routed to one central exchange with no other competing market. The quoted prices of the various securities listed on the exchange represent the only price that is available to investors seeking to buy or sell the specific asset.
Trading Center