# Performing a performance evaluation per CFA guidelines

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Assignment #4

Purpose:      Performing a performance evaluation per CFA guidelines.

Task:              Using DAGVX.dtaperform the calculations necessary to complete the table below as discussed in Week 12 lecture. Provide a written summary explaining the results.  Use the Fama & French total market return (mktrf + rf) as the benchmark index return (all data necessary to perform the calculations is contained in the data file).

DAGVX Return and Risk Calculations

 1. Return and Alpha DAGVX Index Total return = % % Geometric mean per year % % Rolling six-month returns mean = (RR6,1+RR6,2+RR6,3+RR6,4+RR6,5+RR6,6) / n % % Rolling six-month returns (max) % % Rolling six-month returns (min) % % Rolling twelve-month returns mean = (RR12,1+RR12,2+RR12,3+RR12,4+RR12,5+RR12,6+RR12,7+RR12,8+RR12,9+RR12,10+RR12,11+RR12,12) / n % % Rolling twelve -month returns (max) % % Rolling twelve -month returns (min) % % Annualized Performance Alpha CAPM single-factor model % Fama & French 3-factor model % Carhart 4-factor model % 2. Risk Beta Standard deviation of monthly returns % % Annualized standard deviation = (σreturnx sqrt(12)) % % Annualized downside deviation (hurdle rate = risk free rate) % % 3. Efficiency Sharpe ratio (per year) = (return – rf) / Standard deviation (σreturn) Sortino ratio (per year) = (return – rf) / Downside deviation Gain/loss ratio: 4. Consistency Number of months Number of positive months Percentage of positive months % % Average return in up-months % % Number of negative months Percentage of negative months % % Average return in down-months % % Average monthly return in index up-months % % Average monthly return in index down-months % % Skewness Kurtosis 4. Correlation

Summary

(Provide summary here use as much space as needed)must be one page

Last Updated on February 11, 2019 by EssayPro