skfolio.measures.first_lower_partial_moment

skfolio.measures.first_lower_partial_moment(returns, min_acceptable_return=None)

Compute the first lower partial moment.

The first lower partial moment is the mean of the returns below a minimum acceptable return.

Parameters:

returnsndarray of shape (n_observations,)

Vector of returns

min_acceptable_returnfloat, optional

Minimum acceptable return. It is the return target to distinguish “downside” and “upside” returns. The default (None) is to use the mean.

Returns:

valuefloat

First lower partial moment.