Evaluating Risk-Adjusted Performance Metrics of a Multi-Asset Portfolio

As a portfolio manager for a high-net-worth individual, you have been tasked to evaluate the performance of a newly implemented multi-asset portfolio over the past three years. The portfolio consists of equities, fixed income, commodities, and alternative investments. You are provided with the following annual returns and relevant risk metrics:

• Equity Returns: 8%, 12%, 15%
• Fixed Income Returns: 4%, 3%, 5%
• Commodities Returns: 6%, 8%, 7%
• Alternative Investments Returns: 10%, 15%, 12%

Additionally, consider the following information:

• Risk-Free Rate: Constant at 2% over the period.
• Benchmark Index Return: 7%, 9%, 11% (assumed to be a blended index reflecting the portfolio composition).
• Standard Deviation of Portfolio Returns: 5% per annum.
• Portfolio Beta: 1.1 relative to the benchmark.

Based on this data, please compute the following:

1. The annualized return of the portfolio.
2. The Sharpe ratio, Treynor ratio, and Jensen's alpha of the portfolio.
3. Discuss the implications of these performance metrics for the investor, considering their risk tolerance.