18.5
a. For each manager, calculate (1) the average annual return, (2) the standard deviation calculations. Round your answers to two decimal places. b. Assuming that the average annual risk-free rate during the 10 -year sample period was which manager appears to have performed the best? Do not round intermediate calculat Sharpe ratio (Manager X ): Sharpe ratio (Manager Y ): Based on Sharpe ratil las performed the best. c. Calculate the Sortino appears to have perfo Sortino ratio (Manager x ): ortfolio, using the average risk-free rate as the mini Do not round intermediate calculations. Round your Sortino ratio (Manager Y ): Based on Sortino ratio has performed the best. d. When would you expect the Sharpe and Sortino measures to provide (1) the same perfory The Sharpe and Sortino measures should provide the same performance ranking when the consideration. The performance rankings should b. 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 cornputations, Sharpe ratio (Manager x ) Sharpe ratio (Manager : Aased on sharpe ratio has performed the best. c. Caiculate the Sortine ratio for each portfolie, using the average fisk-free rate as the minimum acceptable return threshold. Based an theve computations, which manager appears to have performed the best? Do not round intermediate calculations. Round your answers to three decimal places. Sortine ratio (Manager x ): Sortino ratio (Manajer Y ): Based on sortino ratio has performed the best. d. When would you expect the Sharpe and Sortino measures to provide (1) the same performance ranking, or (2) different performance rankingu? The Sharpe and Sortino measures should provide the same performance ranking when the return distributions are for the funds or managers under consideration. The performance rankings should differ when the return distributions are dard deviation of returns, and (3) the semi-deviation of returns. Do not round int ple period was 1.0%, calculate the Sharpe ratio for each portfolio. Based on these rmediate calculations. Round your answers to three decimal places. rate as the minimum acceptable return threshold. Based on these computations, tions. Round your answers to three decimal places. the same performance ranking, or (2) different nerformance rankings? e ranking when the return distributions ar or the funds or managers distributions are a. For each manager, calculate (1) the average annual return, (2) the standard deviation calculations. Round your answers to two decimal places. b. Assuming that the average annual risk-free rate during the 10 -year sample period was which manager appears to have performed the best? Do not round intermediate calculat Sharpe ratio (Manager X ): Sharpe ratio (Manager Y ): Based on Sharpe ratil las performed the best. c. Calculate the Sortino appears to have perfo Sortino ratio (Manager x ): ortfolio, using the average risk-free rate as the mini Do not round intermediate calculations. Round your Sortino ratio (Manager Y ): Based on Sortino ratio has performed the best. d. When would you expect the Sharpe and Sortino measures to provide (1) the same perfory The Sharpe and Sortino measures should provide the same performance ranking when the consideration. The performance rankings should b. 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 cornputations, Sharpe ratio (Manager x ) Sharpe ratio (Manager : Aased on sharpe ratio has performed the best. c. Caiculate the Sortine ratio for each portfolie, using the average fisk-free rate as the minimum acceptable return threshold. Based an theve computations, which manager appears to have performed the best? Do not round intermediate calculations. Round your answers to three decimal places. Sortine ratio (Manager x ): Sortino ratio (Manajer Y ): Based on sortino ratio has performed the best. d. When would you expect the Sharpe and Sortino measures to provide (1) the same performance ranking, or (2) different performance rankingu? The Sharpe and Sortino measures should provide the same performance ranking when the return distributions are for the funds or managers under consideration. The performance rankings should differ when the return distributions are dard deviation of returns, and (3) the semi-deviation of returns. Do not round int ple period was 1.0%, calculate the Sharpe ratio for each portfolio. Based on these rmediate calculations. Round your answers to three decimal places. rate as the minimum acceptable return threshold. Based on these computations, tions. Round your answers to three decimal places. the same performance ranking, or (2) different nerformance rankings? e ranking when the return distributions ar or the funds or managers distributions are
