Advanced Portfolio Analysis Fund Evaluation

Advanced Portfolio Analysis Fund Evaluation

Select a mutual fund under the following criteria:

1. The fund should be an actively managed fund (this excludes ETFs and Index funds)
2. The fund should be considered an equity fund (fund can hold other asset categories)
3. The fund should have price data available since 2011 in Yahoo Finance

For your selected fund, you will need to download:

1. The most recent fund prospectus
2. Daily price data of the fund from December 31, 2011 through June 30, 2022 (adjusted closing price on Yahoo Finance)
3. The Fama/French 5 Factors (2×3) [Daily] from December 31, 2011 through June 30, 2022 (Kenneth French Data Library)

From the above data calculate the following:

The 10-year, 5-year, 3-year, 1 year cumulative returns as of December 31, 2021.

The returns for 2022 through the end of Quarter 2

The holding period return for 2021 and for the trailing twelve months (TTM) from June 30, 2022

The Compound Annual Growth Rate for 10-, 5-, and 3-years as of December 31, 2021

Sharpe Ratio for 10-year, 5-year, 3-year as of December 31, 2021 and TTM as of June 30, 2022

The fund beta [Cov(r_p ,r_m )/Var(r_m)] for the last 10 years, 5 years, and 3 years as of December 1, 2021

Treynor Ratio for 10-year, 5-year, 3-year as of December 31, 2021

The factor coefficients, including alpha, for 10-Year, 5-year, 3-year as of December 31,2021 and TTM as of June 30, 2022 using the Fama-French 3 factor model, the Carhart 4 factor model, and the Fama-French 5 factor model

Information Ratio for 3 years as of December 31, 2021 and TTM as of June 30, 2022

Sortino Ratio for 5-year and 3-year as of December 31, 2021 and TTM as of June 30, 2022

Grinblatt-Titman Measure of the top 5 holdings for 2021

Allocation Effect for 2021

*make sure excel formulas are used*

*use your own judgement in the amount of excel sheets used*

Prepare a report which provides the following:

1. The objectives and strategies of the fund as set out in the prospectus
2. The benchmark used by the fund
3. The fee structure of the fund (management, performance, ratio)
4. A discussion of the “risks” outlined by management in the prospectus
5. The results of all the above calculations
6. Your overall evaluation of the fund
7. An appendix which will include a copy of the front page of the most recent prospectus and the Excel workbook of the analysis.
8. Submit report in .pdf format. (The analysis workbook can be submitted in .xlsx.)