Sortino Ratio: Know it

CFA Level II
#1

It might show up, it is in Reading 51 of Hedge Funds

#2

(expected return - rfr)/rfr?

#3

I thought it was something like: (Actual Return - Minimum Acceptable Return) / (Downside Deviation) or am I mixing things here?

#4

No : (Compound period return-R_MAR)/DD_MAR MAR: minimum acceptable return DD_MAR: standard deviation for values below R_MAR and use total N (data points) to divide to find Std. Dev.

#5

CF_AHHHHH you are right

#6

Its not going to be on the exam… if it is B

#7

“The sortino ratio is like the sharpe ratio, except that it uses the downside deviation and the minimum acceptable return in place of the risk free rate.”

#8

dude, you are behind. we already discussed this like 3 days ago.