Explanation:
The Sortino measure (or Sortino ratio) is defined as the difference between the portfolio's return and the minimum acceptable return (MAR), divided by the downside deviation. Therefore, the numerator is the difference between the portfolio return and the minimum acceptable return.
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Q.6 Which of these correctly describes the numerator of the Sortino measure?
A
Difference between portfolio return and market return
B
Difference between portfolio return and minimum acceptable return
C
Downside deviation, as measured by the standard deviation of returns below the target
D
Difference between portfolio return and benchmark return
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