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题目详情

单选题 A portfolio manager received a report on his fund's performance. According to the report, the portfolio return was 2.5% with a standard deviation of 21% and a beta of 1.2. The risk -free rate over this period was 3.5%,the semi-standard deviation of the portfolio was 16%,and the tracking error of the fund was 2%. What is the difference between the value of the fund's Sortino ratio (assuming the risk-free rate is the minimum acceptable return) and its Sharpe ratio? ( )

A. 0.563

B. 0.347

C. 0.053

D. -0.015

学科:默认课程

时间:2026-01-11 02:01:11

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