Reference no: EM132908336

Over a 10-year period, a manager uses a covered call strategy to enhance the return of the index fund she manages. The record of the fund's returns is (0.095, 0.08, -0.022, 0.11, 0.09, -0.05, -0.035, 0.124, 0.072, and 0.055). The corresponding benchmark returns record is (0.087, 0.078, -0.034, 0.124, 0.10, -0.064, -0.042, 0.131, 0.062, 0.059). The minimum acceptable return is 4%. Calculate the information ratio and the Sortino ratio. Assume the variance of tracking error is 0.0000887796. = 0.0017569. Assume a normal distribution and volatility of 15% per annum.