For your selected fund, you will need to download:
- The most recent fund prospectus
- Daily price data of the fund from December 31, 2009 through June 30, 2020 (adjusted closing price on Yahoo Finance)
- 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:
- The 10-year, 5-year, 3-year, 1 year cumulative returns as of December 31, 2019.
- The returns for 2020 through the end of Quarter 2
- The holding period return for 2019 and for the trailing twelve months (TTM) from June 30, 2020
- The Compound Annual Growth Rate for 10-, 5-, and 3-years as of January 1, 2020
- Sharpe Ratio for 10-year, 5-year, 3-year as of January 1, 2020 and TTM as of June 30, 2020
- The fund beta [Cov(rp ,rm )/Var(rm)] for the last 10 years, 5 years, and 3 years as of January 1, 2020
- Treynor Ratio for 10-year, 5-year, 3-year as of January 1, 2020
- 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
- Information Ratio for 3 years as of January 1, 2020 and TTM as of June 30, 2020
- Sortino Ratio for 5-year and 3-year as of January 1, 2020 and TTM as of June 30, 2020
- Grinblatt-Titman Measure of the top 5 holdings for 2019
- Allocation Effect for 2019
Prepare a report which provides the following:
- The objectives and strategies of the fund as set out in the prospectus
- The benchmark used by the fund
- The fee structure of the fund (management, performance, ratio)
- A discussion of the “risks” outlined by management in the prospectus
- The results of all the above calculations
- Your overall evaluation of the fund
- An appendix which will include a copy of the front page of the most recent prospectus and any software outputs (e.g., Excel, SAS, SPSS) of the calculations.