Call/WhatsApp: +1 914 416 5343

Managing Funds

You need to gather the following information on your assigned fund:
1. The quarterly holdings of the fund from 06-30-2018 to 06-30-2016. This should include the Company Name, the Company Sector (if reported; if not use Yahoo Finance to identify the sector), the number of shares held, and the value of the shares as reported by the Fund.
a. There are four reports of holdings published each year (two N-Q’s and two N-CSRS’s). Be sure to record these by the date listed in the report rathe than the date published by the SEC).
b. I have already provided you with an Excel workbook with the most recent quarter for your fund.
2. Once you have gathered these holdings, merge them into a unified list of holding across quarters (i.e., any company held in at least one quarter). This is your master list of companies.
3. Use Yahoo to look up the stock symbol:
a. If a symbol does not exist (make sure it does not exist), drop the company (since it has likely been acquired). You should drop it from your master list and each quarter in the fund’s list of holdings
b. If a company is based abroad, you will get the best prices history from the local market (e.g., .BO or .NS in India, etc.).
c. If a company does not have price data back to 06-30-2015, drop the company from the master list and each quarter in the fund’s list of holdings.
d. For the remaining company and your fund, download the adjusted closing prices from 07-01-2015 to 06-30-2018.
4. Based on the remaining holdings (after the elimination of companies in 3), compute the weights of each company in each quarter and the weight of each sector in each quarter.
5. Once you have determined an appropriate ETF to benchmark your fund against (see below), download the adjusted closing prices for this ETF from 07-01-2015 to 06-30-2018.
In total, you should have a Master Excel File with the following:
1. A master list of companies held by the company over appropriate period.
2. A list of holdings and their portfolio weights for each quarter over the appropriate period
3. The fund’s weighting of each sector for each quarter over the appropriate period
4. The daily (adjusted) price series for the fund, the benchmark ETF and each company in the master list of companies from 07-01-2015 to 06-30-2018.
5. (For Project Two) The daily rates of return for each company in the master list of companies from 07-01-2015 to 06-28-2018.
You are expected to research your fund and identify the funds objectives (including style of investing).
NOTE: Each student will be expected to hold a ten-minute one-on-one discussion with me where I quiz you on what you did in your Excel calculation and why you did it. If you cannot convince me you could independently reproduce the calculations, you will receive no credit for the calculations.
TECHNICAL QUESTIONS
Note that these questions are technical, you still must discuss your results!
QUESTION 1
Using the rates of returns for the full period, compute the following:
1. The ex post efficient frontier based on the master list of securities
2. The risk and return of your fund and where it lies (graphically) versus the efficient frontier.
QUESTION 2
You will now re-manage the fund going forward, revising weights at each six month interval (starting at 06-30-2016). For each six month interval compute the following:
1. The efficient frontier based on the last year’s rate of return
2. The risk and return of your fund and where it lies (graphically) versus the efficient frontier based on the last year’s rate of return.
QUESTION 3
Using your calculations in Question 2, select the efficient portfolio that targets the rate of return of the fund at each six month interval (if the rate of return of the fund is inefficient, use the minimum variance portfolio). Based on the efficient portfolio weights versus the fund weight every six months, create two pseudo funds: a pseudo fund based on the funds weights every six months (pseudo actual fund) and a pseudo fund based on the efficient portfolio weights every six month (pseudo efficient fund) and graphically compare them from 06-30-2015 to 06-29-2015.
CONCEPTUAL QUESTION
Based upon your answer to the technical questions, discuss the following:
1. Whether your fund manager should take a more quantitative approach to determine portfolio weights
2. The limitations to the calculations done in the technical questions.

Leave a Reply