skfolio.measures
.fourth_lower_partial_moment#
- skfolio.measures.fourth_lower_partial_moment(returns, min_acceptable_return=None)[source]#
Compute the fourth lower partial moment.
The Fourth Lower Partial Moment is a measure of the heaviness of the downside tail of the returns below a minimum acceptable return. Higher Fourth Lower Partial Moment corresponds to greater extremity of downside deviations (downside fat tail).
- 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 returns mean.
- Returns:
- valuefloat
Fourth lower partial moment.