If the standard deviation of annual returns on the asset is 30% and the interval is a year, then the downside change is equal to :
A) 26%
B) 53.6%
C) 33.0%
D) 38.7%

Question

Quizplus · Accepted Answer

The downside change is equal to the standard deviation of annual returns multiplied by the square root of the interval. In this case, the standard deviation of annual returns is 30% and the interval is a year, so the downside change is equal to 30% * sqrt(1) = 30%.

If the Standard Deviation of Annual Returns on the Asset