Semi-variance

[patso]

The term semivariance refers to the specific case where the target return is xxx the expected return.
A. Less than
B. Equal to
C. More than
I dont get this question.

 

[Galli]

Is this also a reference to “downside deviation”? The book does say that semiveraince and downside deviation are often used to describe what I think this question is asking.
sum of [MIn ( Return_t - Threshold, 0) ^2] / N - 1
Downside deviation (semi-variance) measures only the dispersion of returns below some specified threshold (usually zero or the RF rate, or perhaps the expected return in this case?). Point of this measure is tp focus on the negative returns and not penalize for high positive returns which increases the measured standard deviation.
I think the answer is A.

 

[S2000magician]

The proper term is lower semideviation: finance people are sloppy in their language (all over the place; not just here), and they drop the “lower”.
I encourage you to write “lower” before “semideviation” every time you see the latter; it’ll keep it straight.
The “target” for lower semideviation is the mean; if you want to refer to a different target, the proper term is lower target semideviation.
So the correct answer’s B.
(By the way, authors differ on the correct denominator in lower semideviation: some believe that you should divide by the number of observations, while others believe that you should divide only by the number less than the target. Be careful.)

 

[broadex]

Patso you are using Allenresources. Got you!
The question is on their daily question & question bank.
Im afraid the answer is B and Allenresources gives the followings as answer and explanation: “The term semi variance refers to the specific case where the target return is equal to the expected return”. I don’t know what they mean though!