Performing a performance evaluation per CFA guidelines

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