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