Does anyone know the number for downside deviation are derived? Specifically 28.78 and 65.04. In addition, the formula they’re using looks completely different from what is presented on page 86. What’s going on here?

monthly return less hurdle (which is .4167% per month) if negative, take square root (do for each month) if positive, it is zero sum them up, equals 28.78 for hedge fund returns

Could someone explain why the downside deviations are multipled by (12)^.5?

this one was nasty, you take the minimum of 0 or the difference between the return and the hurdle rate.

yeah, i figured that part out based on the formula on page 86 of the reading, but that 12^.5 term in the solution seemingly comes out of nowhere.

cook , it is to annualize . If given monthly stdev, multiply by Sqrt(12). If given weekly stdev multiply by sqrt(52) if given daily stdev multiply by sqrt(252)

page 87 says “an annual sharpe ratio will be 12^.5 than a monthly on if returns are serially uncorrelated” so i guess i shouldve known this was really just a sharpe ratio with a different name. ugh.

when investments are seriall correlated, the estimate of standard deviation is lower. why<<?? when correlation is for example 1, then the last term in a st.dev. formula would be added and make st.dv. larger compared to when correlation were zero?? what am i not understanding??