You are evaluating the performance of two portfolio managers, and you have gathered annual return data...
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You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade Year Mgr X Return Mgr Y Return 1 -1.5 -6.5 2 -1.5 -3.5 3 -1.5 -1.5 4 -1.0 3.5 5 0.0 4.5 6 4.5 6.5 7 8 9 13.5 553 7.5 8.5 12.5 110 17.5 155 13.5 Average Std Dev Semi-dey 45 4.5 6.90 6.63 0.65 4.20 Question 1: Calculate Sharpe Ratio for both managers Question 2: Calculate Sortino Raito for both managers Question 3: Based on the above calculation which managers performance is best. Why do both measures yield different results. You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade Year Mgr X Return Mgr Y Return 1 -1.5 -6.5 2 -1.5 -3.5 3 -1.5 -1.5 4 -1.0 3.5 5 0.0 4.5 6 4.5 6.5 7 8 9 13.5 553 7.5 8.5 12.5 110 17.5 155 13.5 Average Std Dev Semi-dey 45 4.5 6.90 6.63 0.65 4.20 Question 1: Calculate Sharpe Ratio for both managers Question 2: Calculate Sortino Raito for both managers Question 3: Based on the above calculation which managers performance is best. Why do both measures yield different results.
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