foundation of risk Management

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

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)


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:


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