Comprehensive Performance Appraisal of a Balanced Portfolio

As a Portfolio Manager at Apex Investments, you have been responsible for managing a balanced portfolio consisting of 60% equities and 40% fixed income instruments for high-net-worth clients. Recently, your firm has begun to apply advanced performance evaluation techniques, including the use of the Sharpe ratio, Sortino ratio, and the Treynor ratio, to assess portfolio performance. Over the last year, your portfolio returned 12%, with a standard deviation of 15%. The risk-free rate is 2%, and the beta of your portfolio is 1.2.

Your supervisor has requested a comprehensive performance appraisal report that not only details the performance of the portfolio using the aforementioned ratios, but also critiques the limitations of these measures in providing a full picture of portfolio performance. Additionally, you should compare your portfolio performance with a benchmark comprising a similar asset allocation, which achieved a return of 10% with a standard deviation of 12% and a beta of 1.0 over the same period.

In your response, ensure you clearly present your findings on the performance ratios, their implications for the portfolio's risk-adjusted return, and discuss the potential blind spots of relying solely on these performance metrics.