FINANCE 411 – FALL 2010
Professor Abraham I. Brodt
DUE DATE: October 15, 2010 [Submit a Hard Copy and via Drop Box; Keep a copy ]
1. Choose 2 funds from the Globe and Mail 15-Year Mutual fund Review issue [on internet] as follows:
1. fund names start with the same letter as your surname [or as close as possible]
2. 1 Canadian fund (equity or balanced)
3. 1 International Fund
4. each fund should have 15 years of data.
1. Prepare a 10-12 page typewritten report on the 2 funds you have chosen
Your name, Student ID Number, etc.
Names of the 2 Funds
Executive Summary/Interpretation of your results
-Description of the Fund
- Investment Style, Holdings, MER, etc.
- R2, alpha, beta, t-stats
Comparison of Regression and Globefund Beta and Risk
Comparison of Predicted vs. Actual Return for YTD 2010
Would you recommend this fund? Why [or why not]?
Data and regression results for your fund
(see Bodie – use excess returns and appropriate
indices and interest rates)
Repeat above for your international fund
Fund Profiles and Graphs (see Globefund)
Comparison of Predicted vs. Actual Return for 2010
You will have run 2 regressions on 15 years [1995-2009] of annual data – 1 for a Canadian mutual fund, the other for an international mutual fund.
Your regression gives you the alpha and beta estimates.
Compare the actual vs predicted returns for your mutual funds for...
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