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  • Month Return Excess Return Negative Excess Return

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    rahul
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    The document contains two tables showing monthly returns and excess returns for two investments over a 12 month period. The first table includes calculations for target return, downside deviation, average excess return and Sortino ratio. The second table adjusts the excess returns to account for a 0.4% risk-free rate and includes calculations for standard deviation, average excess return and Sharpe ratio.

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    Sortino Ratio

    Original Title

    Sortino Ratio

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    The document contains two tables showing monthly returns and excess returns for two investments over a 12 month period. The first table includes calculations for target return, downside deviation, average excess return and Sortino ratio. The second table adjusts the excess returns to account for a 0.4% risk-free rate and includes calculations for standard deviation, average excess return and Sharpe ratio.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    10 views2 pages

    Month Return Excess Return Negative Excess Return

    Uploaded by

    rahul
    The document contains two tables showing monthly returns and excess returns for two investments over a 12 month period. The first table includes calculations for target return, downside deviation, average excess return and Sortino ratio. The second table adjusts the excess returns to account for a 0.4% risk-free rate and includes calculations for standard deviation, average excess return and Sharpe ratio.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    http://breakingdownfinance,com

    Month Return Excess Return Negative Excess Return


    1 1.50% 1.50% 0.00%
    2 -1.96% -1.96% -1.96%
    3 1.16% 1.16% 0.00%
    4 4.43% 4.43% 0.00% Target return
    5 3.39% 3.39% 0.00%
    6 -1.46% -1.46% -1.46% Downside deviation
    7 -3.13% -3.13% -3.13% Average excess return
    8 1.28% 1.28% 0.00%
    9 3.87% 3.87% 0.00% Sortino Ratio
    10 1.36% 1.36% 0.00%
    11 -3.87% -3.87% -3.87%
    12 -1.13% -1.13% -1.13%

    Month Return Excess Return


    1 1.50% 1.10% risk-free rate
    2 -1.96% -2.36%
    3 1.16% 0.76% standard deviation
    4 4.43% 4.03% Average excess return
    5 3.39% 2.99%
    6 -1.46% -1.86% Sharpe Ratio
    7 -3.13% -3.53%
    8 1.28% 0.88%
    9 3.87% 3.47%
    10 1.36% 0.96%
    11 -3.87% -4.27%
    12 -1.13% -1.53%
    0.00%

    0.01633603
    0.00453333

    0.28

    0.40%

    0.02742515
    0.00053333

    0.02

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