Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Please select any fund from yahoo finance, I just want to know how to do the calculations in an excel file if you have only

image text in transcribedPlease select any fund from yahoo finance, I just want to know how to do the calculations in an excel file if you have only the adjusted close price

For your selected fund, you will need to download: 1. The most recent fund prospectus 2. Daily price data of the fund from December 31, 2009 through June 30, 2020 (adjusted closing price on Yahoo Finance) 3. The Fama/French 5 Factors (2x3) (Daily) from December 31, 2009 through June 30, 2020 (Kenneth French Data Library) From the above data calculate the following: 1. The 10-year, 5-year, 3-year, 1 year cumulative returns as of December 31, 2019. 2. The returns for 2020 through the end of Quarter 2 3. The holding period return for 2019 and for the trailing twelve months (TTM) from June 30, 2020 4. The Compound Annual Growth Rate for 10-, 5-, and 3-years as of January 1, 2020 5. Sharpe Ratio for 10-year, 5-year, 3-year as of January 1, 2020 and TTM as of June 30, 2020 6. The fund beta (Covlherm)/Var(rm)] for the last 10 years, 5 years, and 3 years as of January 1, 2020 7. Treynor Ratio for 10-year, 5-year, 3-year as of January 1, 2020 8. Jensen's Alpha for 10-Year, 5-year, 3-year as of January 1,2020 and TTM as of June 30, 2020 using both the Fama-French 3 factor model and the Fama-French 5 factor model 9. Information Ratio for 3 years as of January 1, 2020 and TTM as of June 30, 2020 10. Sortino Ratio for 5-year and 3-year as of January 1, 2020 and TTM as of June 30, 2020 11. Grinblatt-Titman Measure of the top 5 holdings for 2019 12. Allocation Effect for 2019 For your selected fund, you will need to download: 1. The most recent fund prospectus 2. Daily price data of the fund from December 31, 2009 through June 30, 2020 (adjusted closing price on Yahoo Finance) 3. The Fama/French 5 Factors (2x3) (Daily) from December 31, 2009 through June 30, 2020 (Kenneth French Data Library) From the above data calculate the following: 1. The 10-year, 5-year, 3-year, 1 year cumulative returns as of December 31, 2019. 2. The returns for 2020 through the end of Quarter 2 3. The holding period return for 2019 and for the trailing twelve months (TTM) from June 30, 2020 4. The Compound Annual Growth Rate for 10-, 5-, and 3-years as of January 1, 2020 5. Sharpe Ratio for 10-year, 5-year, 3-year as of January 1, 2020 and TTM as of June 30, 2020 6. The fund beta (Covlherm)/Var(rm)] for the last 10 years, 5 years, and 3 years as of January 1, 2020 7. Treynor Ratio for 10-year, 5-year, 3-year as of January 1, 2020 8. Jensen's Alpha for 10-Year, 5-year, 3-year as of January 1,2020 and TTM as of June 30, 2020 using both the Fama-French 3 factor model and the Fama-French 5 factor model 9. Information Ratio for 3 years as of January 1, 2020 and TTM as of June 30, 2020 10. Sortino Ratio for 5-year and 3-year as of January 1, 2020 and TTM as of June 30, 2020 11. Grinblatt-Titman Measure of the top 5 holdings for 2019 12. Allocation Effect for 2019

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access with AI-Powered Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Students also viewed these Finance questions