Performance Measurement
A clients portfolio is managed by two different managers. The beginning portfolio values are
shown below. Assume that no distributions were made from either portfolio and that the client made no
further contributions to either portfolio. Both managers are invested in the same fixed income sector.
Month	Manager 1	Manager 2
January 2017	$10,000,000	$10,000,000
February	$10,250,000	$10,750,000
March	$10,400,000	$10,300,000
April	$10,500,000	$11,000,000
May	$10,650,000	$10,250,000
June	$10,750,000	$11,150,000
July	$10,800,000	$10,500,000
August	$10,900,000	$11,500,000
September	$10,950,000	$10,850,000
October	$10,900,000	$10,200,000
November	$10,950,000	$10,850,000
December	$11,000,000	$10,950,000
January 2018	$11,200,000	$11,400,000
(a) Calculate the monthly returns for each manager.
(b) Calculate the monthly and annualized arithmetic average return for each manager.
(c) Calculate the monthly and annualized geometric average return for each manager.
(d) Calculate the standard deviation of the monthly returns for each manager.
(e) Which manager demonstrated a better performance relative to risk?
Support your conclusion.