Title

Mutual Fund Performance in a Nonsymmetrical World: A Case for the Upside Deviation

Department

Economics, Finance, & Quantitative Analysis

Document Type

Article

Publication Date

1-2001

Abstract

A mathematical case is made for the upside deviation. When a portfolio's UD is divided by the market's UD, the resulting ratio facilitates another test of positive or negative skewness. However, a grater contribution of the prospective measure is that were DDp/DDm monitors a portfolio's control of downside deviations, UDp/UDm reflects the leverage from upside deviations.

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