Relative to the Sharpe Ratio, the Sortino Ratio Will Make

Multiple Choice

Relative to the Sharpe ratio, the Sortino ratio will make a portfolio's performance look more favorable if the portfolio has experienced:

A) fewer extreme negative returns relative to extreme positive returns.
B) fewer extreme positive returns relative to extreme negative returns.
C) an equal number of extreme positive and extreme negative returns.
D) virtually no extreme negative or extreme positive returns.