MULTIPLE CHOICE

Suppose over a period of 5 years, average excess return from a globally diversified portfolio is 3%, volatility of the portfolio's negative excess returns is 15%, and the volatility of the portfolio's positive excess returns is 8%. Which one of the following statements is correct?

A) The Treynor Ratio is 39.13%

B) The Sharpe Ratio is 13.04%

C) The Sortino Ratio is 37.5%

D) The Sortino Ratio is 20%