Finance Junkie
Posts: 205
Joined: Mon Feb 04, 2013 3:35 pm


Postby » Tue Oct 08, 2013 12:20 pm

An analyst has compiled the following information on a portfolio:
Sortino Ratio: 0.82
Beta: 1.15
Expected return: 12.2%
Standard deviation: 16.4%
Benchmark return: 11.9%
Risk-free rate: 4.75%
Calculate the mean squared deviation of the portfolio?
Choose one answer.
a. 8.2% Incorrect
b. 14.9% Incorrect
c. 0.4% Incorrect
d. 13.38% Correct

Semi standard deviation= [(12.2-11.9)/0.82]2= 13.38% .

why they are using benchmark return

Finance Junkie
Posts: 258
Joined: Thu Sep 20, 2012 3:42 pm


Postby pradeeppdy » Wed Oct 09, 2013 12:52 pm

Because if Benchmark return is given we will not use Risk- free rate,
Here we first use Target return if it is not given then we will use Benchmark return then Risk free return.

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