foundation

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Finance Junkie
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foundation

While analyzing a portfolio an analyst found that the beta of the portfolio was high at 1.15. The portfolio had an expected return of 13.6% and had standard deviation of 16.4%. The portfolio was benchmarked against the Sensex which had an expected return of 11.9% and a standard deviation of 13.2%. The minimum acceptable return on the portfolio is 5%. The analyst also noticed that the Sortino ratio was 0.78. Using this information can you deduce the semi-standard deviation of the portfolio?
a. Yes, it is 0.12156 Incorrect
b. Yes, it is 0.11025 Incorrect
c. Yes, it is 0.012156 Correct
d. No, it cannot be deduced Incorrect

0.012156=[(0136-0.05)/0.78]^2 = 0.012156.

Why we are using Square-the question is for finding semi-standard deviation of the portfolio.

While analyzing a portfolio an analyst found that the beta of the portfolio was high at 1.15. The portfolio had an expected return of 13.6% and had standard deviation of 16.4%. The portfolio was benchmarked against the Sensex which had an expected return of 11.9% and a standard deviation of 13.2%. The risk free rate was 5%. The analyst also noticed that the Sortino ratio was 0.78. Using this information can you deduce the semi-standard deviation of the portfolio?
a. Yes, it is 12.38% Incorrect
b. Yes, it is 11.03% Correct
c. Yes, it is 11.58% Incorrect
d. No, it cannot be deduced Incorrect
Sortino Ratio = ( Average portfolio return- Rf)/SSD

This sum they did so

Can you explain the difference

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

foundation

I am not getting the point because it seems to both questions are same but the answers are different but i think here the second explanation is correct because it is following the actual formula.