Assume an investment fund had the following returns (in percent) over the last six years: 6, 12,
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Assume an investment fund had the following returns (in percent) over the last six years: 6, 12, −3, 8, 2, and 5. What is the Sortino ratio for this investment fund? How does it compare to the Sharpe ratio?
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The first step is to calculate the mean return and deviations The mean return is the arithmetic aver...View the full answer
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Related Book For
Fundamentals Of Investments Valuation And Management
ISBN: 9781266824012
10th Edition
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
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