Select a mutual fund that is investing in

multicurrency equity markets and perform: a$)$ Performance attribution analysis

including currency performance

b$)$ Show the contribution of currency risk to volatility and diversification benefits by looking at the country indexes' performance in local currency and in Euro. $($Hint$.$ Use the efficient frontier analysis and consider a maximum of $5$ countries with different currencies$).$

That is:

Gather historical returns for the mutual fund $($VTWAX$),$ spanning $5$ years.

Obtain currency movement data against a base currency $($EUR$).$

Collect benchmark data for relevant equity indexes.

$2.$ Decompose Returns:

Separate returns into stock selection, sector allocation, and currency effects.

Compare fund performance against market benchmarks.

Assess sector performance relative to sector benchmarks.

Analyze currency impact using regression analysis.

$3.$ Performance Attribution:

Calculate component contributions to overall performance.

Evaluate currency impact on fund performance.

Assess effectiveness of currency hedging strategies.

$4.$ Interpretation:

Analyze performance drivers and currency movements.

Determine alignment with expectations and hedging strategies.

$5.$ Currency Risk Assessment:

Select five countries with different currencies.

Gather historical returns data for country indexes.

Construct efficient frontiers for risk$-$return optimization.

Compare portfolios in local currency and Euro.

Evaluate currency risk on portfolio volatility.

$6.$ Visual Representation:

Create graphs and charts for analysis visualization.

Illustrate currency risk contribution to volatility.

$7.$ Final Report:

Prepare concise report of one word page of just words

Include sections like executive summary, methodology, results, and discussion.

Attach Excel file with analysis as appendix.