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LOS l: Compare and contrast the Sharpe ratio, risk-adjusted return on capital, return over maximum drawdown, and the Sortino ratio as measures of risk-adjusted performance.
Q1. In the Sortino ratio, the excess return is divided by the:
A) maximum drawdown.
B) standard deviation using only the returns below a minimum level
C) standard deviation.
Q2. Jenny Rouse has been a portfolio manager for Theta Advisors for the last five years. The performance of her portfolio has had few returns below its benchmarks since its inception. Which of the following risk measures best measures Rouse’s performance?
A) Standard Deviation.
B) Sharpe ratio.
C) Sortino ratio.
Q3. Which of the following risk measures does NOT assume a normal distribution of returns?
A) RoMAD.
B) Standard Deviation.
C) Sortino ratio. | 
发表于 2009-4-7 18:56
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