Performance Metrics

Performance Metrics. Complete Problem 22 in the Questions and Problems section of Chapter 13 (shown below). When you pick the best choice for your portfolio, defend your decision in a 100 – 200 word essay.

You have been given the following return information for two mutual funds (Papa and Mama), the market index, and the risk-free rate.

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Year

Papa Fund

Mama   Fund

Market

Risk-Free

 

2008

-12.6%

-22.6

-24.5%

1%

 

2009

25.4

18.5

19.5

3

 

2010

8.5

9.2

9.4

2

 

2011

15.5

8.5

7.6

4

 

2012

2.6

-1.2

-2.2

2

Calculate the Sharpe ratio, Treynor ratio, Jensen’s alpha, information ratio, and R-squared for both  funds  and determine which is the best choice for your portfolio.