Relative to the Sharpe Ratio, the Sortino Ratio Will Make

question 5

Multiple Choice

Relative to the Sharpe ratio, the Sortino ratio will make a portfolio's performance look more favorable if the portfolio has experienced:

• A) fewer extreme negative returns relative to extreme positive returns.
• B) fewer extreme positive returns relative to extreme negative returns.
• C) an equal number of extreme positive and extreme negative returns.
• D) virtually no extreme negative or extreme positive returns.

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