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
-Title Page:Your name, Student ID Number, etc.
Names of the 2 Funds
-Page 1: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]?
-Page 2Data and regression results for your fund (see Bodie – use excess returns and appropriate indices and interest rates)
-Pages 3-4Repeat above for your international fund
-Pages 4-12Fund 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...