Question: 12. A. Compute the annualized downside deviations for the hedge fund and the index, and contrast them to the standard deviation. The annualized standard deviations

12. A. Compute the annualized downside deviations for the hedge fund and the index, and contrast them to the standard deviation. The annualized standard deviations for the hedge fund and the index are, respectively, 8.64 percent and 9.19 percent.

B. Compute the Sortino ratio and, based on this statistic, evaluate the performance of the hedge fund against the performance of the index portfolio.

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