Reading 35 portfolio performance evaluation, example 12 qns2 -pg 232

CFA Level III Portfolio Management
#1

Hi,
I try to calculate the geometric average for downside return but could not get both geometric average of - 5.51% and - 5.35% for R(m) and R(B) respectively.

Using the texas instrument calculator, I obtain - 5.05% for R(m) and - 5.10% for R(B) instead.

Does anyone able to get the same results from the print?

Thanks

#2

R(m) = [(1 - 0.0306)(1 - 0.0905)(1 - 0.0409)(1 - 0.0572)]^{1/4} - 1 = -5.51\%

R(B) = [(1 - 0.0360)(1 - 0.0799)(1 - 0.0523)(1 - 0.0451)]^{1/4} - 1 = -5.35\%

#3

Thanks a lot,fino_abama!

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