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Select a mutual fund that is investing in multicurrency equity markets and perform: a ) Performance attribution analysis including currency performance b ) Show the
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 countries with different currencies
That is:
Gather historical returns for the mutual fund VTWAX spanning years.
Obtain currency movement data against a base currency EUR
Collect benchmark data for relevant equity indexes.
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.
Performance Attribution:
Calculate component contributions to overall performance.
Evaluate currency impact on fund performance.
Assess effectiveness of currency hedging strategies.
Interpretation:
Analyze performance drivers and currency movements.
Determine alignment with expectations and hedging strategies.
Currency Risk Assessment:
Select five countries with different currencies.
Gather historical returns data for country indexes.
Construct efficient frontiers for riskreturn optimization.
Compare portfolios in local currency and Euro.
Evaluate currency risk on portfolio volatility.
Visual Representation:
Create graphs and charts for analysis visualization.
Illustrate currency risk contribution to volatility.
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.
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