the 1st picture is my question.
the second picture is a example of how to solve it.
Problem 18-05 You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: -5.0 Year Manager X Return (%) Manager Y Return (%) -1.0 - 1.0 -4.0 -2.5 -0.5 2.5 6.5 7.5 7.5 8.5 9.5 12.0 10.5 16.5 a. 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 Manager Y b. Assuming that the average annual risk free rate during the 10 year sample period was 1.5%, 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): Sharpe ratio (Manager Y): Based on Sharpe ratio Select has performed the best. c. 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): Based on Sortino ratio Select 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 rankings? The Sharpe and Sortino measures should provide the same performance ranking when the return distributions are select for the funds or managers under consideration. The performance rankings should differ when the return distributions are Select 1) Symmetrical 2) Asymmetric RELUI (70) RELUI (70) -1.5 -1.5 -1.5 -6.5 -3.5 in in is is in in 13.5 in 18.5 14.5 Average 4.60 4.60 Std Dev 7.11 6.79 Semi-dev 5.23 6.74 Semi-deviation considers only the returns that are below the average b. Sharpe ratio: (average return minus risk-free rate) / standard deviation Manager X: 0.436 Manager Y: 0.457 Best performer c. Sortino ratio: (average return minus minimum acceptable return) / semi-deviation Manager X: 0.593 Best performer Manager Y: 0.460 d. The Sharpe and Sortino measures should provide the same performance ranking when the return distributions are symmetrical for the funds or managers under consideration. Under asymmetric distributions, such as when one manager is hedging risk exposure or using a portfolio insurance strategy, the performance rankings should differ. Note: While the calculations above show values rounded to 2 decimal places, unrounded values should be used to calculate the required values
