To calculate downside deviation, if they give you monthly returns do you have to multiply by sqrt(12) to get the annualized downside deviation? In one of the Wiley questions, they give you 6 months data and 12 months data in another one. In the question where they provided 12 months, the answer shows multiply by sqrt(12) but in the 6 months data, they don’t do it. Both questions ask for annualized downside deviation.
I’d multiply by √12, and be explicit about it.