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You are evaluating the performance of hwo portlolio managers, and you have gathered annual retm data for the past decade Year Mgr X Retum Mgr Y Rehum -1.5 65 2 -15 35 -1.5 -15 -10 3.5 0.0 4.5 4.5 65 6.5 7.5 8.5 85 13.5 125 17.5 13.5 verage 4.5 4.5 d Dev 6.90 6.63 mi-dev 0.65 4.20 estion 1: Calculate Sharpe Ratio for both managers estion 2: Calculate Sortino Raito for both managers stion 3: Based on the above calculation which managers performance is best. Why do both measures yield different results

You are evaluating the performance of hwo portlolio managers, and you have gathered annual retm data for the past decade Year Mgr X Retum Mgr Y Rehum -1.5 65 2 -15 35 -1.5 -15 -10 3.5 0.0 4.5 4.5 65 6.5 7.5 8.5 85 13.5 125 17.5 13.5 verage 4.5 4.5 d Dev 6.90 6.63 mi-dev 0.65 4.20 estion 1: Calculate Sharpe Ratio for both managers estion 2: Calculate Sortino Raito for both managers stion 3: Based on the above calculation which managers performance is best. Why do both measures yield different results

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Question 11 You are evaluating the performance of two portfolio managers, and you have gathered annual retum data for the past decade Year Mgr X Retum Mgr Y Rehum 1. -1.5 6.5 -15 35 3 -1.5 -15 4 -1.0 3.5 0.0 4.5 4.5 65 6.5 7.5 8.5 85 13.5 125 10 17.5 13.5 Average 4.5 4.5 Std Dev 6.90 6.63 Semi-dev 0.65 4 20 Question 1: Calculate Sharpe Ratio for both managers Question 2: Calculate Sortino Raito for both managers Question 3: Based on the above calculation which managers performance is best. Why do both measures yield different resulta For the toolbar, press ALT+F10 (PC) or ALT+FN+F10 (Mac).
Transcribed Image Text:Question 11 You are evaluating the performance of two portfolio managers, and you have gathered annual retum data for the past decade Year Mgr X Retum Mgr Y Rehum 1. -1.5 6.5 -15 35 3 -1.5 -15 4 -1.0 3.5 0.0 4.5 4.5 65 6.5 7.5 8.5 85 13.5 125 10 17.5 13.5 Average 4.5 4.5 Std Dev 6.90 6.63 Semi-dev 0.65 4 20 Question 1: Calculate Sharpe Ratio for both managers Question 2: Calculate Sortino Raito for both managers Question 3: Based on the above calculation which managers performance is best. Why do both measures yield different resulta For the toolbar, press ALT+F10 (PC) or ALT+FN+F10 (Mac).
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