Explanation

Statement I Analysis: Information Ratio

To calculate the Information Ratio (IR), we need:

• Portfolio return (not provided)
• Benchmark return = 12.36%
• Tracking error = 7.21%

Since the portfolio return is not given, we cannot calculate the Information Ratio. Therefore, Statement I cannot be verified and is likely incorrect.

Statement II Analysis: Sharpe vs Sortino vs Information Ratio

• Sharpe Ratio = (Portfolio Return - Risk-free Rate) / Standard Deviation
• Sortino Ratio = (Portfolio Return - Risk-free Rate) / Semi-standard Deviation
• Information Ratio = (Portfolio Return - Benchmark Return) / Tracking Error

Given:

• Standard deviation = 16.90%
• Semi-standard deviation = 13.72%
• Tracking error = 7.21%
• Risk-free rate = 5.35%

Since the portfolio return is not provided, we cannot calculate the exact values. However, we can analyze the relative magnitudes:

• The denominator for Sharpe (16.90%) > Sortino (13.72%), so Sharpe ratio < Sortino ratio
• The denominator for Information Ratio (7.21%) is smaller than both, but we don't know the numerator (excess return over benchmark)

Without the portfolio return, we cannot definitively determine if Sharpe ratio > Information ratio. Therefore, Statement II cannot be verified.

Conclusion

Both statements cannot be verified with the given information, so the correct answer is D. Neither I or II.