Semi-variance
Dispersion computed only over periods that came in below a chosen threshold: how badly a portfolio fell, with no credit for how strongly it rose.
Formula
The threshold is set in advance — zero or the risk-free rate. Only periods below it enter the sum, while the divisor stays the total number of observations.
How to read the number
It underpins the Sortino ratio and sits closer to what people actually mean by risk: nobody is frightened by an upside surprise, yet symmetric measures count it as one.
When the metric lies
Also known as: downside semi-variance