- Résumé
- Sommaire
- Extraits
- Descriptif
- À propos de l'auteur
- Lecture
Rédigez des études contre primes !
Choisissez un sujet dans la liste
Rédigez-le et envoyez-le nous
Recevez votre prime dès validation !
Consultez les sujets disponiblesDevenez auteur ! Publiez et vendez vos articles, dossiers et documents !
Publiez vos documents !Mutual fund performance
Résumé de l'étude de cas
The principal investment strategies are, for MIGSF, to invest at least 80 % of the fund's net assets in stocks of company, of any size but with a large capitalization, which has above average earnings growth potential. MIGSG invests also in foreign securities. For AMF, the investment strategy is resumed by the achievement of three mains objectives - current income, growth of target="_blank" title="Études et analyses concernant capital">capital and conservation of principal - through investments in companies (with higher quality but less volatility) that participate in the growth of the American economy. According to VUGF, "The fund employs a 'passive management'--or indexing--investment approach designed to track the performance of the MSCI U.S. Prime Market Growth Index, a broadly diversified index predominantly made up of growth stocks of large U.S. companies. The fund attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index". The objective of this take home assignment is to work on four US mutual funds. As a result, we have to develop a critical and analytical report by studying average returns, volatility, Sharpe ratio..., but also by estimate a one-factor alpha, a three-factor alpha, based on the Fama and French model, and a four-factor alpha and momentum factor, based on Carhart. We will, also, interpret alphas, coefficients in these regressions and funds performances. To do this study, we will combine information on the funds and from my own econometrics analysis, in order to compare funds as if this report would be read by an interested investor.
Sommaire de l'étude de cas
- Introduction
- Analyze and interpretations of data
- Linear regression
- 4 factors alpha : Carhart
- Fama-MacBeth Cross-Sectional Tests
- Conclusion
Extraits de l'étude de cas
[...] As we can see with the graph, the funds are under the security market line. It means that, instead of invest in those funds, investors would prefer to borrow and invest in the market portfolio. Sharpe ratio and Sortino ratio, Jensen's alpha Jensen's alpha measures abnormal return of a security or portfolio of securities over the theoretical expected return. We compute this alpha as follow : Jensen's alpha = Portfolio Return [Risk Free Rate + Portfolio Beta * (risk premium)] ? AMF = 0.654 = ? MIGSF = 0.539 = ? MSFGF = 0.398 = ? VUGF = 0.443 = All the alphas are positive, greater than zero, it means that the investments have a return in excess of the reward for the assumed risk, especially for AMF, with The Sharpe Ratio measures risk-adjusted return of an investment. [...]
[...] The momentum beta measures a fund manager's exposure to momentum stocks. To evaluate the performance of a managed portfolio, the intercept in the time-series regression using the three (or five) factors is the average abnormal return needed to judge whether a manager can beat the market 3 factors alpha : French and Fama : With the 3 factors alpha model, we add to the CAPM 2 more variables, which are size and value. The size effect is the total market value of all stocks outstanding of a firm (Market value of equity). [...]
[...] The principal investment strategies are, for MIGSF, to invest at least of the fund's net assets in stocks of company, of any size but with a large capitalization, which has above average earnings growth potential. MIGSG invests also in foreign securities. For AMF, the investment strategy is resumed by the achievement of three mains objectives current income, growth of capital and conservation of principal through investments in companies (with higher quality but less volatility) that participate in the growth of the American economy. According to VUGF, "The fund employs a 'passive management'--or indexing--investment approach designed to track the performance of the MSCI U.S. [...]
[...] It is a relative distress factor. We compute the 3 factor model as follow: SEE EXCEL SHEET 3 FACTOR ALPHA r - Rf = beta3 x ( Km - Rf ) + bs x SMB + bv x HML + alpha alpha SE alpha Beta SE beta Beta SE beta Beta SE beta Beta the AMF is still the most diversified, contrary to the 3 others. So, it seems to be less risky. Also the lowest have more idiosyncratic risk than is not rewarded. [...]
[...] However, for sdome, momentum stock are more risky. Fama-MacBeth Cross-Sectional Tests : An alternative way to test the CAPM is by estimating so-called Fama- MacBeth regressions. The CAPM implies that beta is the only relevant variable to explain the cross-section of expected stock returns. With Fama-MacBeth regressions Beta is not necessary the explanatory variable. We compute the regressions as follow : Ri= ?0+?1?1+?2 CHAR+? Bibliography : Books : Bodie, Kane and Marcus, Investments and portfolio management, NY, Mc Graw-Hill Irwin Pozen, An Investor's Guide to Mutual Funds, MIT Press Website : http://www.ici.org/research/stats/worldwide/ww_06_12 : I Company institute Pozen, An Investor's Guide to Mutual Funds, MIT Press p 1 Bodie, Kane and Marcus, Investments and portfolio management, NY, Mc Graw-Hill Irwin glossary G-8 For more details on the history of Mutual funds see : Pozen, Op. [...]
À propos de l'auteur
CAROLINE N.etudiante Finance- Niveau
- Grand public
- Etude suivie
- sciences...
- Ecole, université
- relations...
Descriptif de l'étude de cas
- Date de publication
- 2014-04-30
- Date de mise à jour
- 2014-08-20
- Langue
- anglais
- Format
- Word
- Type
- étude de cas
- Nombre de pages
- 12 pages
- Niveau
- grand public
- Téléchargé
- 0 fois
- Validé par
- le comité de lecture
Autres docs sur : Mutual fund performance
- La performance des mutuals funds technologies
- Investissements institutionnels et performances boursières dans les pays émergents
- Investment Funds on the German Market
- Sovereign Wealth Funds (SWFs): Reactions of Developed Countries
- Comment l'innovation financière influence-t-elle la performance économique des entreprises...