The Sortino Measure Differs from the Sharpe Ratio in That

question 27

Multiple Choice

The Sortino measure differs from the Sharpe ratio in that

• A) it measures the portfolio's average return in excess of a user-selected minimum acceptable return threshold.
• B) it measures the portfolio beta.
• C) higher values of the Sortino measure are not desirable, while higher values in the Sharpe ratio are desirable.
• D) it measures standard deviation of total portfolio return.
• E) it measures portfolio beta relative to the market index proxy.

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