Question
Manager A Manager B S&P 500 RFR 1 20.0% 9.0% 18.0% 2.0% 2 14.0% 7.0% 12.0% 1.5% 3 4.0% -2.0% 5.0% 1.8% 4 14.0% 10.0%
| Manager A | Manager B | S&P 500 | RFR | |
| 1 | 20.0% | 9.0% | 18.0% | 2.0% |
| 2 | 14.0% | 7.0% | 12.0% | 1.5% |
| 3 | 4.0% | -2.0% | 5.0% | 1.8% |
| 4 | 14.0% | 10.0% | 12.0% | 2.0% |
| 5 | -1.0% | 2.0% | 3.0% | 1.5% |
| 6 | 4.0% | -1.0% | -3.0% | 1.2% |
| 7 | 32.0% | 11.0% | 20.0% | 1.0% |
| 8 | 12.5% | 2.0% | 9.0% | 1.5% |
1)What is the Sharpe ratio for manager A and B?
2)What is the Treynor ratio for manager A and B?
3)What is the information ratio for manager A and B?
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Derivatives Markets
Authors: Robert McDonald
3rd Edition
978-9332536746, 9789332536746
