Consider the monthly returns on a portfolio as shown in Exhibit 11: 1. Calculate the target downside

Question:

Consider the monthly returns on a portfolio as shown in Exhibit 11:

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1. Calculate the target downside deviation when the target return is 3 percent.

2. If the target return were 4 percent, would your answer be different from that for question 1? Without using calculations, explain how would it be different?

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2024 CFA Program Curriculum Level I Volume 1

ISBN: 9781953337672

1st Edition

Authors: CFA Institute

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Question Posted: Feb 01, 2024 08:30 AM

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Consider the monthly returns on a portfolio as shown in Exhibit 11: 1. Calculate the target downside

Question:

Exhibit 11: Monthly Portfolio Returns Month January February March April May June July August September October November December Return (%) 5 3 -1 4 2 0 4 3 965 0

Step by Step Answer:

1 2 If the target return is higher then the existing deviations would be larger and there would be ...View the full answer

2024 CFA Program Curriculum Level I Volume 1

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