Chartered Investment Manager (CIM) Practice Exam · Question
An investment fund has an average daily return of 0.08%, a daily downside deviation of 0.75%, and uses a minimum acceptable return (MAR) of 0.02%. What is its daily Sortino Ratio?
The Sortino Ratio is calculated as (Average Return - MAR) / Downside Deviation. So, (0.08% - 0.02%) / 0.75% = 0.06% / 0.75% = 0.08. This indicates that for ever
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Question: An investment fund has an average daily return of 0.08%, a daily downside deviation of 0.75%, and uses a minimum acceptable return (MAR) of 0.02%. What is its daily Sortino Ratio?
Answer options: ✅ 0.08
- 0.80
- 1.00
- 1.08
Correct answer: 0.08
Explanation: The Sortino Ratio is calculated as (Average Return - MAR) / Downside Deviation. So, (0.08% - 0.02%) / 0.75% = 0.06% / 0.75% = 0.08. This indicates that for every 1% of downside risk, the fund generates 0.08% in returns above the MAR.
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