A fund manager recently a report a report on the performance of his portfolio. According to the report,the portfolio return is 9.3%, with a standard deviation of 13.5%, and beta of 0.83. The riskfree rate is 3.2%, the semi-standard deviation of portfolio is 8.4%, and the tracking error of the portfolio to the benchmark index is 2.8%. What is the difference between the value of the fund's Sortino ratio(computed relative to the riskfree rate) and its Sharpe ratio?
A. 1.727
B. -0.378
C. 0.274
D. 0.653
自己先做~
做完之后滑这儿，就能对答案
Answer:C
Sharp ratio=(9.3%-3.2%)/13.5%=0.4519
Sortino ratio=(9.3%-3.2%)/8.4%=0.7262
Sortino ratio-Sharp ratio=0.274
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