You are evaluating the performance of two portfolio managers, and you have gathered annual return data for

Question:

You are evaluating the performance of two managers, and you have gathered annual return data for the past decade:

You are evaluating the performance of two portfolio managers, and

a. For each manager, calculate (1) the average annual return, (2) the standard deviation of returns, and (3) the semi-deviation of returns.
b. Assuming that the average annual risk-free rate during the 10-year sample period was 1.5 percent, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best?
c. Calculate the Sortino ratio for each portfolio, using the average risk-free rate as the minimum acceptable return threshold. Based on these computations, which manager appears to have performed the best?
d. When would you expect the Sharpe and Sortino measures to provide (1) the same performance ranking, or (2) different performance rankings?Explain.

Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...

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a Year Mgr X Return Mgr Y Return 1 15 65 2 15 35 3 15 15 4 10 35 5 00 45 6 45 ...View the full answer

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Related Book For book-img-for-question

Investment Analysis and Portfolio Management

ISBN: 978-0538482387

10th Edition

Authors: Frank K. Reilly, Keith C. Brown

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Question Posted: Dec 17, 2014 10:49 AM

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You are evaluating the performance of two portfolio managers, and you have gathered annual return data for

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a Year Mgr X Return Mgr Y Return 1 15 65 2 15 35 3 15 15 4 10 35 5 00 45 6 45 ...View the full answer

Investment Analysis and Portfolio Management

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