Please answer all questions on attached PDF. Please be sure to do both the excel worksheet and write the paper using word. Please be sure to follow all instructions on attached PDF

Midterm: Fin 4320 Spring 2017 Estimation of Risk Adjusted Measure of Performance of one EQUITY Mutual Fund. 1. FIVE YEARS RISK ADJUSTED PERFORMANCE: Choose one Equity (Don't choose bond or money market fund or inverse fund ) mutual fund (Any mutual fund that you are interested) and gather five years of quarterly price (NAV) for your chosen fund and then estimate quarterly returns, standard deviation of returns, beta etc. Use materials of chapter 6 of your textbook and my lecture notes to measure the risk adjusted performance of your mutual funds that you have chosen. 2. Also estimate the risk adjusted performance of the S&P 500 for five years, use a mutual fund that mimics S&P 500 or you can use SPY (ETF that mimics S&P500). Then compare the risk adjust performance, (Using Sharpe, Treynor, and Jenson) of your fund with the S&P500. 3. OPTINAL: measure 10 years of risk adjusted performance for your mutual fund and SP500. You can find a lot of information and data from: Morningstar.com, or Briefing.com Bloomberg.com/ Vanguard has a fund that mimics S&P500. OR: www.Vanguard.com Once you have the quarterly returns of your fund then you can estimate the beta of your fund by running a regression; the fund returns will be your dependent variable and the S&P500 returns will be your independent variable. The slope of this regression line will be the beta of your fund. FORMAT OF THE PAPER: Your paper should be written in Word file. You should have four sections in your paper: Introduction, Methodology and Data, Empirical Results and Conclusions: 1 Introduction: Here you should briefly discuss the reasons or the case for mutual fund investing (in contrast to managing your own portfolio) and state what are you trying to do (The purpose of the paper) in this study (Risk adjusted performance measure). Methodology and Data: Here you should state the methodology that you are going to use in the paper (Sharpe, Treynor, Alpha, ....) and briefly discuss each. Also you should describe the data and their sources. Empirical Results: This is the crux of your paper; here you to estimate and present the risk adjusted measure of performance of your two funds and the S&P500 for 5, and 10 (optional) years. (In a separate Excel file, you have to support the numbers in this section). Conclusions: Looking at the results of previous sections you should make a conclusion regarding each fund, whether they have outperformed the market (SP500) or not. I highly recommend that you look at my lecture notes (Performance evaluation both in Words and Excel, these would help you greatly to write your term paper). 2