Page 90 of the text shows a full calculation . It calls the return a mean geometric return but does this funny calculation of turning the annualized geometric return into a monthly number ( by usual de-compounding ) and then back into an annual number using plain multiplication
Just struggled with that question myself and had the same concern about my ability to execute on a question like this come exam day. However, then I looked at the LOS list for SS13 and wondered how they construct a question that would require us to calculate the sortino ratio in this fashion. Actually, I see a good deal of calculation EOC questions without an equivalent LOS for calculation.