题目
For the past four years, the returns on a portfolio were 6%，9% ，4%, and 12%. The corresponding returns of the benchmark were 7%, 10%, 4%, and 14%. The risk-free rate of return is 7%, and the mean squared deviation from the minimum return is 2.5. The portfolios Sortino ratio is closest to:
选项
A.0.3000
B.0.4743
C.0.7000
D.1.1068
答案
B
解析
The benchmark returns are not important here. The average of the portfolio returns is(6 % 9% 4% 12%) / 4 = 31 %/ 4 = 7.75%. Sortino ratio=（7.75%-7%）/SQRT（2.5） If the minimum acceptable return isnot provided, it is reasonable to use the riskfree rate instead. 基准回报在这里并不重要。 投资组合回报的平均值为（6％ 9％ 4％ 12％）/ 4 = 31％/ 4 = 7.75％。Sortino比率=（7.75％-7％）/ SQRT（2.5）如果没有提供可接受的最低回报，则可以合理地使用无风险利率。