AIV Assignment 1

Q1: Given the returns sample for two investments A, B and the benchmark M.
Period A B M
1 0.13 -0.63 -0.74
2 -0.37 0.05 -1.52
3 -0.02 -0.15 0.35
4 0.22 0.66 2.58
5 -0.02 1.53 2.04
6 0.33 -0.29 1
7 -0.5 0.43 6.49
8 0.43 1.04 0.6
9 1.24 0.06 1.03
10 0.93 0.17 -1.71

Compare the two investments on the basis of:

a. Sharp ratio (RFR = 5%)
b. Sortino Ratio (target rate = 5%)
c. Information ratio