These questions are to be answered using the spreadsheet entitled USFundDatawhich is attached. This spreadsheet contains the following data for 132 months between January 2009 to December 2019: Net of...

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These questions are to be answered using the spreadsheet entitledUSFundDatawhich is attached. This spreadsheet contains the following data for 132 months between January 2009 to December 2019:

  1. Net of annual fee fund return data for 12 US equity funds
  2. End of month fund sizes for these funds
  3. Risk-free rate, market return, size, value and momentum factor returns

Calculate the following using the first 66 months of data and then the second 66 months of data for each of the funds in the sample.

  1. The arithmetic average, geometric average returns and the money weighted returns.
  2. The Sharpe ratio, one factor alpha, three factor alpha, four factor alpha, and information ratio.
  3. Compare and contrast your results from the first half and second half of the sample. What do the results tell us?
  4. Imagine that you are a US pension fund manager and you having currently divided up the pension fund’s money between three mutual fund managers. You have decided to drop one of the three mutual fund managers and you are looking to invest your money with one other mutual fund instead. If you were to pick one of these 12 funds that you have analysed above which one of these would it be and why?

Answered Same DayApr 16, 2022

Solution

Neha answered on Apr 17 2022
8 Votes
Summary
                1.00    2.00    3.00    4.00    5.00    6.00    7.00    8.00    9.00    10.00    11.00    12.00
                AIM Growth Series (Invesco Growth Series): Invesco Small Cap Growth Fund; Class A Shares    Dunham Funds: Dunham Small Cap Value Fund; Class A Shares    American Century Quantitative Equity Funds, Inc: Small Company Fund; A Class Shares    Columbia Acorn Trust: Columbia Acorn USA Fund; Class A Shares    Diamond Hill Funds: Diamond Hill Small Cap Fund; Class A Shares    Fidelity Securities Fund: Fidelity Small Cap Growth Fund    Nuveen Investment Funds, Inc: Nuveen Small Cap Growth Opportunities Fund; Class A Shares    Hartford Mutual Funds, Inc: Hartford Small Cap Value Fund; Class A Shares    Nationwide Mutual Funds: Nationwide Bailard Cognitive Value Fund; Class A Shares    Hotchkis & Wiley Funds: Hotchkis & Wiley Small Cap Value Fund; Class A Shares    JPMorgan Trust II: JPMorgan Small Cap Value Fund; Class A Shares    Legg Mason Partners Equity Trust: ClearBridge Small Cap Value Fund; Class A Shares
        First 66    Arithematic Average    0.02    0.01    0.02    0.02    0.02    0.02    0.02    0.02    0.02    0.02    0.02    0.02
            Geometric Average    28.22    10.48    7.76    26.22    24.58    14.88    19.66    10.13    10.75    38.96    18.08    17.43
            Money Weighted Returns    0.40    0.19    0.19    0.35    0.26    0.47    0.46    0.61    0.21    0.41    0.20    0.25
            Sharpe ratio    0.35    0.26    0.29    0.28    0.31    0.32    0.31    0.35    0.28    0.35    0.27    0.26
            One alpha factor    15.00    22.00    66.00    33.00    44.00    11.00    22.00    3.00    4.00    13.00    11.00    4.00
            three alpha factor    8.00    10.00    1.00    2.00    6.00    9.00    13.00    9.00    2.00    44.00    5.00    12.00
            Four alpha factor    3.00    8.00    4.00    34.00    2.00    5.00    6.00    44.00    10.00    2.00    13.00    11.00
            Information ratio    5.12    (16.33)    (11.09)    4.93    7.45    4.04    5.77    11.20    12.30    14.12    12.14    4.19
        Second 66    Arithematic Average    0.01    0.01    0.00    0.01    0.00    0.01    0.01    0.01    0.00    0.00    0.00    0.00
            Geometric Average    36.51    14.90    13.51    17.75    33.19    22.17    22.03    12.37    12.59    56.31    26.48    19.78
            Money Weighted Returns    0.34    0.13    0.13    0.16    0.06    0.25    0.23    0.21    0.10    0.10    0.09    0.06
            Sharpe ratio    17.97    11.34    8.37    15.99    7.26    20.99    14.07    10.72    7.95    6.60    7.63    7.18
            One alpha factor    5.00    6.00    6.00    5.00    7.00    6.00    44.00    10.00    2.00    13.00    11.00    2.00
            three alpha factor    5.00    7.00    5.00    8.00    8.00    14.00    2.00    4.00    12.00    43.00    6.00    34.00
            Four alpha factor    7.00    9.00    88.00    7.00    10.00    15.00    12.00    2.00    14.00    10.00    45.00    13.00
            Information ratio    11.43    30.33    (11.88)    (12.68)    (13.29)    (11.83)    (2.38)    (3.24)    (10.42)    (14.42)    (11.90)    1.27
        1    Expenses and glide path are just two factors that investors should consider.Target-date funds make saving for retirement a
eeze. They provide access to a wide range of markets, active and passive management, and a choice of asset allocation options. Despite its simplicity, target-date funds require investors to keep track of asset allocation, fees, and investment risk.
        2    My pick
            American Century Quantitative Equity Funds, Inc: Small Company Fund; A Class Shares    For the return and risk balance and the cinstant growth this fund shows.
ids_dates_returns_sizes_nav
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    Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per Share    Observations        Date    Fund Identifier    Total Net Assets as of Month End    Total Return per Share as of Month End    Monthly Net Asset Value Per...
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