What is the Sortino ratio for the fund and the market? You have been given the following

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What is the Sortino ratio for the fund and the market?

You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97.

Year 2018 2019 2020 2021 2022 Fund -15.2% 25.1 12.4 6.2 -1.2 Market -24.5% 19.5 9.4 7.6 -2.2 Risk-Free 1% 324

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Fundamentals Of Investments Valuation And Management

ISBN: 9781266824012

10th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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Question Posted: Dec 30, 2023 02:08 AM

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What is the Sortino ratio for the fund and the market? You have been given the following

Question:

Year 2018 2019 2020 2021 2022 Fund -15.2% 25.1 12.4 6.2 -1.2 Market -24.5% 19.5 9.4 7.6 -2.2 Risk-Free 1% 324 2

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First find the squared differences between the funds return each year and its average return includ...View the full answer

Fundamentals Of Investments Valuation And Management

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