2. Suppose that we wished to compute monthly returns for Fund A over a period of five months. We collect relevant end-of-month NAVs along with any dividends.

The following table lists NAV’s and dividends collected for Fund A from June 30 to November 30. Following the NAV data are sample return calculations:

Date NAVt NAVt21 DIVt June 30 1 50 — 0 July 31 2 55 50 0 Aug. 31 3 50 55 0 Sep. 30 4 54 50 0 Oct. 31 5 47 54 2 Nov. 30 6 51 47 0

a. Calculate returns for each month starting with July.

b. The following lists NAVs for Fund B. Calculate monthly returns for Fund B.
Fund B Date t NAVt NAVt21 DIVt June 30 1 50 — 0 July 31 2 80 50 0 Aug. 31 3 40 80 0 Sep. 30 4 60 40 0 Oct. 31 5 30 60 0 Nov. 30 6 45 30 0

c. Calculate geometric mean returns for Funds A and B.

d. Calculate time-weighted average returns for Funds A and B.