Downside Deviation EOC Q12 CFA Bk 5, Reading 36

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ChrisV

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Page 120.
Looking for help on the calculation of downside deviation. I understand the concept (at least I thought I did) but can’t get to the answer CFA has. Specifically the downside deviation for the HF. The sum of the downside deviations from the hurdle rate of 0.4167%/month is shown as 28.78. Can someone lay it out for me? I am taking all of the returns below the 0.4167% and subtracting them from that number. This is clearly wrong. Please help. Thanks.
 
DD = if(RET < MAR) then SUM((RET - MAR)^2)/n else 0
DD-March = 5.840293889
DD-April = 5.840293889
DD-May = 2.006953889
DD-July = 2.006953889
DD-November = 0.000277889
DD-December = 13.08030189
Total = 28.77507533
 
I actually just did this question and was wondering how to come up with the annualized return of the hedge fund and the index. The return for the hedge fund is given as:
.6133% x 12 = 7.360%
and the annualized return for index is given as:
-.449% x 12 = -5.388%
If anyone could let me know where the .6133% and the -.449% came from I would greatly appreciate it.
Thanks!
TheChad
 
I don’t know if any error in the solution to Q12. But you can refer to P.89~90 for the calculations.
 
AMC Wrote:
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> I don’t know if any error in the solution to Q12.
> But you can refer to P.89~90 for the calculations.
Perfect, thanks! I wasn’t using the Geometric mean.
Best,
TheChad
 
I do not understand these calculations- is this important to learn them for the exam?
 
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