Gain Standard Deviation

Gain Standard Deviation - Minarets . Samarkand Uzbekistan
Gain Standard Deviation

The Gain Standard Deviation is a measure of risk that is basically similar to the standard deviation, except that this is a statistic, which considers the variability of the positive returns around their mean only. For example, when determining this measure all periods/observations with negative outcomes are neglected and, thus, volatility is calculated solely on the basis of the gain periods.

Correspondingly, when calculating the opposite volatility measure—the loss standard deviation, in an analogous way—only the loss outcomes are considered. The gain standard deviation, in essence, is a measure of the upside (ex-post or ex-ante) risk.

The higher the gain standard deviation, the higher the variability of the (possible or observed) positive outcomes. Lower values can be interpreted as a rather uniform distribution of the positive outcomes.