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You can use benchmark returns as target returns when you define certain risk measures. This applies to Annualized Downside Deviation, Downside Deviation, Downside Variance, Expected Downside Value, Target Sortino Ratio, and Shortfall Risk.
When you create the Performance Risk Analysis fields for these measures, you can define the target return as the average return of a specified entity or type of benchmark over the specified analysis period. The target return value can vary based on the fund being analyzed. You can assign a:
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