---
title: "Semideviation"
description: "Semideviation is volatility measured on the losing days alone: how much a strategy's losing days differed from one another, annualized with √252."
canonical_url: "https://fincanva.com/glossary/semideviation"
last_updated: "2026-10-11"
md_url: "https://fincanva.com/glossary/semideviation.md"
---

# Semideviation

Semideviation is the [volatility](/glossary/volatility) of a [strategy](/glossary/strategy)'s losing days alone: the standard deviation of the daily returns below zero, annualized with the square root of 252 like volatility itself. It measures how much the losing days differed from one another, and leaves the winning days out entirely.

**Also seen as:** semi-deviation, semi-standard deviation, downside volatility

It tells whether the bad days were all alike or ranged from mild to much worse.

## How is semideviation calculated?

Keep only the days the strategy lost money, take the standard deviation of those returns around their own average, and annualize it:

$$
\begin{aligned}
{\text{semideviation}} &= \sqrt{{252}} \\
&\quad \times {\text{standard deviation of the daily returns below zero}}
\end{aligned}
$$

where:

- the annualized volatility of the losing days
- the number of trading days in a year, the same convention volatility uses
- how widely the losing days' returns differed

In words: it is volatility, measured on the losing days only. A strategy whose losing days were all about −0.5% has a low semideviation; one whose losing days ranged from −0.1% to −4% has a high one.

## How does Fincanva handle it?

- Performance Metrics shows it in the **Volatility and risk** group as **Semideviation (downside only)**, right under **Volatility**, annualized the same way — see [what every number in Performance Metrics means](/docs/analysis/what-every-number-in-performance-metrics-means).
- It follows the same losing-days convention as the [Sortino ratio](/glossary/sortino-ratio) on the **Sub-strategies** tab.
- A simulation computed before the row existed shows "n/a", never 0%.

## Why is semideviation about 0.6 times volatility even for bell-shaped returns?

Because it measures the losing days around their own average, not around zero, semideviation is not the share of the movement that went down. Take returns that follow a bell-shaped (normal) distribution — symmetric, with as many ups as downs: their losing half, measured around its own average, has a standard deviation of √(1 − 2/π) ≈ 0.6 times the full volatility. Other symmetric shapes give other ratios, so the 0.6 belongs to bell-shaped returns, not to symmetry as such. For bell-shaped returns, a semideviation near 0.6 × volatility is the ordinary case, not a sign that most of the movement was upward; a figure well above it means unusually uneven losing days.

## What does it look like in practice?

Two strategies both show a **Volatility** of 15%. The first reads **Semideviation (downside only)** 9%, close to 0.6 × 15%: its losing days were about as varied as a symmetric distribution expects. The second reads 13%: its losing days ranged much more widely — most mild, a few far worse — even though its overall volatility is the same.

## What counts as a good value?

Lower means more uniform losing days. Compare it with the strategy's own volatility first: about 0.6 × volatility is ordinary, well above means some losing days were much worse than the rest, which is worth reading beside the [Value at Risk](/glossary/value-at-risk) and [Conditional Value at Risk](/glossary/conditional-value-at-risk). Between strategies, compare it only over the same period.

Fincanva is for education and illustration only. It is not personalised financial advice, and past or simulated results do not predict future ones. [Read the Terms Addendum](https://fincanva.com/terms/addendum#section-3)