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标题: Sortino [打印本页]

作者: yuoska 时间: 2011-7-13 13:36 标题: Sortino

pretty straight-forward, right? but the CFAI books have me confused:

(Alt Investments, V5 p. 88)

(1) Sortino, hedge funds = (annualized RoR - risk-free rate)/(downside deviation)

(Risk Mgmt, V5, p.268)

(2) Sortino = (mean portfolio return - min. acceptable return)/(downside deviation)

On the exam, I would use (2).

(1) is only for hedge funds? why would the risk-free rate be used? it assumes an absolute return strategy?

作者: Windjam 时间: 2011-7-13 13:36

Your 1 and 2 are the same, except that in your 1 you have assumed that the minimum acceptable return is the risk free rate.

No, it's not only for hedge funds. Sortino Ratio is used when there is considerable asymmetry in the distribution of returns.

作者: jmh530 时间: 2011-7-13 13:36

semi variance and downside deviation are the same guys?

thanks!
M.

作者: skycfa 时间: 2011-7-13 13:36

No, they are not the same.

Both use the form:
Deviation = SQRT (sum [min (R - MAR, 0)] ^2) / (n-1)

Downside deviation assumes minimum acceptable return is set by user (can be any #).
Semivariance assumes minimum acceptable return is average monthly return.

作者: Roflnadal 时间: 2011-7-13 13:36

thanks.

what confused me is why the min. acceptable rate for a hedge fund is the risk-free rate.

作者: NakedPuts2011 时间: 2011-7-13 13:36

The risk-free-rate often acts as a benchmark for hedge funds.

作者: bkballa 时间: 2011-7-13 13:36

Risk free rate is the MAR for market neutral hedge funds. Since the goal is to eliminate systematic risk, the MAR should be the risk free rate.

For the exam, they will likely state what the hurdle rate or MAR is, if it isn't stated, use the risk free rate.

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