foundation of risk Management

vandana.jain
Finance Junkie
Posts: 41
Joined: Tue Jul 24, 2012 4:56 pm

foundation of risk Management

Postby vandana.jain » Thu Sep 27, 2012 11:49 am

Sartino Ratio

Hi,
I just want ask that if Minimum acceptable return(MAR) is not there in question then what should we used as MAR benchmark return or risk free rate?

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 semi-standard deviation of the portfolio?
Choose one answer. a. 8.2%
b. 14.9%
c. 0.4%
d. 9.08%

The correct answer is 9.08%.
0.82 = 12.2 – 4.75 = 12.2 – 4.75/0.82 = 9.08%

here we use Risk free rate, but in pristine handbook on same question we use benchmark return as MAR. (Page no 644 class exercise)

Tags:

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: foundation of risk Management

Postby content.pristine » Thu Sep 27, 2012 1:11 pm

Hi Vandana,

Thanks for your query. This has been already resolved.
Please check out the link below:
topic651.html

8-)


Return to “FRM Part I”



Disclaimer

Global Association of Risk Professionals, Inc. (GARP®) does not endorse, promote, review or warrant the accuracy of the products or services offered by EduPristine for FRM® related information, nor does it endorse any pass rates claimed by the provider. Further, GARP® is not responsible for any fees or costs paid by the user to EduPristine nor is GARP® responsible for any fees or costs of any person or entity providing any services to EduPristine Study Program. FRM®, GARP® and Global Association of Risk Professionals®, are trademarks owned by the Global Association of Risk Professionals, Inc

CFA Institute does not endorse, promote, or warrant the accuracy or quality of the products or services offered by EduPristine. CFA Institute, CFA®, Claritas® and Chartered Financial Analyst® are trademarks owned by CFA Institute.

Utmost care has been taken to ensure that there is no copyright violation or infringement in any of our content. Still, in case you feel that there is any copyright violation of any kind please send a mail to abuse@edupristine.com and we will rectify it.