semi standard deviation

[itsyourz]

Hi,

in 08 practice exam part i

no.35 , it's about calculating semi-SD

answer is d.9.08% which is from (12.2%-4.75%) / 0.82

but i'm confused why riskfree rate is used,

normally minimum acceptable return(MAR) is used, isn't it?

suk

 

[David Harper CFA FRM]

Hi suk,

Yes, exactly correct. I consider than an error in this question, too. Sortino is based on MAR; MaR could equal riskfree rate, but that is not stated and therefore, here the numerator is confused with Sharpe ratio.

David