習(xí)題：
　　Exercise:
　　A fund manager recently received a report on the performance of his portfolio over the last year. According to the report, the portfolio return is 9.3%, with a standard deviation of 13.5%, and a beta of 0.83. The risk-free rate is 3.2%, the semi-standard deviation of the portfolio is 8.4%, and the tracking error of the portfolio to the benchmark index is 2.8%. What is the difference between the value of the fund';s Sortino Ratio (computed relative to the risk-free rate) and its Sharpe Ratio?
　　A.   0.274
　　B.      1.727
　　C.      0.653
　　D.      -0.378
　　解析：
　　Answer: A
　　Explanation:
 
　　The difference between the Sortino Ratio and Sharpe Ratio is 0.28
　　知識(shí)點(diǎn)：
　　Sortino Ratio
　　The Sortino Ratio is similar to the Sharp Ratio except we replace the risk-free rate with a minimum acceptable return, denoted Rmin, and we replace the standard deviation with a type of semi-standard deviation, which considers only data points that represent a loss.
 

 
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