James Chan is reviewing the performance of the global equity
James Chan is reviewing the performance of the global equity managers of the Jarvis University endowment fund. Williamson Capital is currently the endowment fund’s only large- capitalization global equity manager. Performance data for Williamson Capital are shown in Table 21A.
Chan also presents the endowment fund’s investment committee with performance information for Joyner Asset Management, which is another large- capitalization global equity manager. Performance data for Joyner Asset Management are shown in Table 21B. Performance data for the relevant risk- free asset and market index are shown in Table 21C.
a. Calculate the Sharpe ratio and Treynor measure for both Williamson Capital and Joyner Asset Management.
b. The Investment Committee notices that using the Sharpe ratio versus the Treynor measure produces different performance rankings of Williamson and Joyner. Explain why these criteria may result in different rankings.
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