Advanced Portfolio Analysis



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, 2009 through June 30, 2020 (adjusted closing price on Yahoo Finance)
3. The Fama/French 5 Factors (2×3) [Daily] from December 31, 2009 through June 30, 2020 (Kenneth French Data Library)

From the above data calculate the following:

1. The 10-year, 5-year, 3-year, 1-year cumulative returns as of December 31, 2019.
2. The returns for 2020 through the end of Quarter 2
3. The holding period return for 2019 and for the trailing twelve months (TTM) from June 30, 2020
4. The Compound Annual Growth Rate for 10-, 5-, and 3-years as of January 1, 2020
5. Sharpe Ratio for 10-year, 5-year, 3-year as of January 1, 2020 and TTM as of June 30, 2020
6. The fund beta [Cov(rp ,rm )/Var(rm)] for the last 10 years, 5 years, and 3 years as of January 1, 2020
7. Treynor Ratio for 10-year, 5-year, 3-year as of January 1, 2020
8. Jensen’s Alpha for 10-Year, 5-year, 3-year as of January 1,2020 and TTM as of June 30, 2020 using both the Fama-French 3 factor model and the Fama-French 5 factor model
9. Information Ratio for 3 years as of January 1, 2020 and TTM as of June 30, 2020
10. Sortino Ratio for 5-year and 3-year as of January 1, 2020 and TTM as of June 30, 2020
11. Grinblatt-Titman Measure of the top 5 holdings for 2019
12. Allocation Effect for 2019

The post Advanced Portfolio Analysis first appeared on COMPLIANT PAPERS.

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