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Chapter 18 Excel Application: Performance Measures
1. Examine the performance measures of the funds included in the spreadsheet.
a. Rank the funds by the five performance measures.
Using the Excel sort function:
i. [Sort by Column F] Sharpe Ratio: Millennium, Omega, Momentum Watcher,
S&P Index Return, Big Potential, Alpha, Omicron, Big Value
ii. [Sort by Column G] Treynor Measure: Omicron, Momentum Watcher, Big
Potential, Omega, S&P Index Return, Millennium, Alpha, Big Value
b. Are the rankings across funds consistent? The rankings will change depending on the
2. Which fund would you choose if you were considering investing the entire risky portion of your
portfolio? The Sharpe Ratio (and by extension the M2 Measure) shows that the Millennium
Fund is the best choice.
What if you were considering adding a small position in one of these funds to a portfolio invested
