In: Finance
You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade:
Year | Manager X Return (%) | Manager Y Return (%) | |||
1 | -2.5 | -4.0 | |||
2 | -2.5 | -3.0 | |||
3 | -2.5 | -2.5 | |||
4 | -0.5 | 3.5 | |||
5 | 0.0 | 5.5 | |||
6 | 2.0 | 6.5 | |||
7 | 6.5 | 7.5 | |||
8 | 10.0 | 8.5 | |||
9 | 13.5 | 9.5 | |||
10 | 19.5 | 12.0 |
Average annual return | Standard deviation of returns | Semi-deviation of returns | |
Manager X | 4.35 % | 7.74% | ? % |
Manager Y | 4.35% | 5.67% | ? % |
Sharpe ratio (Manager X): 0.433
Sharpe ratio (Manager Y): 0.591
Sortino ratio (Manager Y): ?