Asset Management

Asset Management

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This question is to be answered using the spread sheet entitled "USfunddata_AM" which is attached. This spread sheet contains the following data for 100 months between September 2000 to December 2008. i. Net of annual fee fund return data for 12 US equity funds. ii. End of month fund sizes for these funds. iii. Risk-free rate, market return, size, value and momentum factor returns. iv. Constant-maturity 10- year Treasury bond yields v. Constant-maturity 3-month Treasury bill yields vi. Moody’s BAA-rated corporate bond yields. vii. Moody’s AAA- rated corporate bond yields. Calculate the following using the first 50 months of data and then the second 50 months of data for each of the funds in the sample. a. The arithmetic average, geometric average and money weighted returns. b. The Sharpe ratio, one factor alpha, three factor alpha, four factor alpha, Treynor ratio and information ratio. c. Compare and contrast your results from the first half and second half of the sample. What do the results tell us? d. 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?

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