Semi-Standard Deviation - Mock Test - II, Q#: 38

anirban.dutta
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Location: Kolkata

Semi-Standard Deviation - Mock Test - II, Q#: 38

Postby anirban.dutta » Mon May 12, 2014 8:05 am

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 semi-standard deviation of the portfolio.

Options:
A. 8.2%
B. 14.2%
C. 0.4%
D. 13.38%

edupristine
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Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

Semi-Standard Deviation - Mock Test - II, Q#: 38

Postby edupristine » Thu May 15, 2014 8:07 am

Sortino ratio SR = (Rp - Rf)/σd Where σd is the semi-standard deviation or down-side deviation

So σd = (Rp - Rf)/SR = (0.164-0.0475)/0.82 = 0.142


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