Measuring Downside Risk Using VaR

Annette is an investment manager evaluating a new portfolio strategy that aims to maximize returns while keeping risk within acceptable limits defined by her clients. She decides to analyze the portfolio's risk using various measures. One of the crucial aspects she considers is the standard deviation of portfolio returns, which provides insight into the volatility of the investment returns over a specified period.

To gain a deeper understanding of the risk profile of her portfolio, Annette also contemplates including a value at risk (VaR) measure, which predicts potential losses in value of the portfolio with a specified confidence level. As part of her analysis, she also examines the portfolio's beta in relation to the market to understand its sensitivity to market movements.

Given this context, which method provides the best measure of the downside risk for a portfolio, particularly in circumstances where Annette's clients are highly focused on avoiding significant losses?