Calculation Of Semi Standard Deviation

swarnendupathak
Finance Junkie
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Joined: Mon Sep 17, 2012 11:06 am

Calculation Of Semi Standard Deviation

Postby swarnendupathak » Thu Sep 20, 2012 4:42 pm

Hi All,
Just wanna to know about the basis of calculation of SSD.
The material says that for calculating SSD only those return to be consider which fall below the corresponding benchmark. So my question is which return to consider as benchmark return?? whether it is the mean of the distribution or the every corresponding benchmark return or minimum acceptable return???
Please help.

Regards
Swarnendu

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content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: Calculation Of Semi Standard Deviation

Postby content.pristine » Fri Sep 21, 2012 12:24 pm

Hi Swarnendu,

The calculation of SSD is pretty straightforward.
First of all, out of all 'n' data points, take the 'm' data points that fall below the acceptable threshold.
Now, in the standard deviation formula, instead of taking the deviation from the mean, you take the deviation from this acceptable threshold.
Making these 2 adjustments to the standard deviation formula will give you the Semi Standard Deviation.

Hope this helps!
8-)


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