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AbsoluteRiskMeasuresDownsideDeviation Method
This measure is similar to the loss standard deviation except the downside deviation considers only returns that fall below a defined minimum acceptable return (MAR) rather than the arithmetic mean. For example, if the MAR is 7%, the downside deviation would measure the variation of each period that falls below 7%. (The loss standard deviation, on the other hand, would take only losing periods, calculate an average return for the losing periods, and then measure the variation between each losing return and the losing return average).

Namespace:  MathNet.Numerics.Financial
Assembly:  MathNet.Numerics (in MathNet.Numerics.dll) Version: 3.7
Syntax
C#
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public static double DownsideDeviation(
	this IEnumerable<double> data,
	double minimalAcceptableReturn
)

Parameters

data
Type: System.Collections.GenericIEnumerableDouble

[Missing <param name="data"/> documentation for "M:MathNet.Numerics.Financial.AbsoluteRiskMeasures.DownsideDeviation(System.Collections.Generic.IEnumerable{System.Double},System.Double)"]

minimalAcceptableReturn
Type: SystemDouble

[Missing <param name="minimalAcceptableReturn"/> documentation for "M:MathNet.Numerics.Financial.AbsoluteRiskMeasures.DownsideDeviation(System.Collections.Generic.IEnumerable{System.Double},System.Double)"]

Return Value

Type: Double

[Missing <returns> documentation for "M:MathNet.Numerics.Financial.AbsoluteRiskMeasures.DownsideDeviation(System.Collections.Generic.IEnumerable{System.Double},System.Double)"]

Usage Note

In Visual Basic and C#, you can call this method as an instance method on any object of type IEnumerableDouble. When you use instance method syntax to call this method, omit the first parameter. For more information, see Extension Methods (Visual Basic) or Extension Methods (C# Programming Guide).
See Also