medium · FRM Part 1 Foundations of Risk Management
A portfolio has an expected return of 8%. The risk-free rate is 2%, and the Minimum Acceptable Return (R_MAR) is 4%. The standard deviation is 10%, and the downside deviation is 6%.
What is the calculated Sortino Ratio?
- 0.600
- 1.000
- 0.400
- 0.667
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