Question
In: Finance
You are evaluating the performance of two portfolio managers, and you have gathered annual return data...
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 | |||
- For each manager, calculate (1) the average annual return, (2)
the standard deviation of returns, and (3) the semi-deviation of
returns. Do not round intermediate calculations. Round your answers
to two decimal places.
Average annual return Standard deviation of returns Semi-deviation of returns Manager X 4.35 % 7.74% ? % Manager Y 4.35% 5.67% ? % - Assuming that the average annual risk-free rate during the
10-year sample period was 1.0%, calculate the Sharpe ratio for each
portfolio. Based on these computations, which manager appears to
have performed the best? Do not round intermediate calculations.
Round your answers to three decimal places.
Sharpe ratio (Manager X): 0.433
Sharpe ratio (Manager Y): 0.591
- 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? Do not round intermediate calculations. Round
your answers to three decimal places.
- Sortino ratio (Manager X): ?
-
Sortino ratio (Manager Y): ?
Solutions
jeff jeffy answered 8 months agoRelated Solutions
You are evaluating the performance of two portfolio managers, and you have gathered annual return data...
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
-1.0
-5.0
2
-1.0
-4.0
3
-1.0
-3.5
4
-0.5
1.5
5
0.0
3.0
6
2.5
3.5
7
3.5
7.5
8
9.0
8.5
9
11.0
10.5
10
15.0
15.5
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