Portfolio Management Report
| 2013 | | Javis Mutual Fund |
[Dow-Jones Plus fund] | |
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Word Count: 3750
Word Count: 3750
Table Of Content Objective 2 Part A - Passively managed investment Optimal passive fund from historical data estimates Methodology overview 3 Steps in Practice 4 Optimal passive fund from CAPM model Applying CAPM 6 CAPM’s application 6 Steps in practice 6 Part B - Actively managed investment Problem defined 10 Solution: Black – Litterman Model 11 Application for Dow Jones Plus Fund 12 Review on the Portfolio 13 Conclusion 14 Part C – Portfolio performance and Style analysis Portfolio performance Sharpe’s Measure 16 Treynor’s Measure 16 Jensen’s Measure 17 M2 Measurement 17 Style analysis Style analysis 18 Benchmark indices 18 Fund’s return 19 Conclusion 19 Reference 21
Objective
Dow-Jones Plus is a newly established fund of Javis Mutual Fund, focusing on the Dow Jones Industrial Average. Starting with US$10 million and following active managing style, the fund’s goal is to outperform the DJIA index and the also outperform the style benchmark portfolio.
This report is to show the investment strategy of our Board Management in constructing the portfolio. Through a well-certificated process, with detailed historical data, thorough analysis and expert opinions, it is supposed to reach the goal, and thus, acquire the trust and support from investors.
Part A
Passively managed investment
Investment Strategy
Now that ten constituents of the portfolio have been determined, the investment strategy firstly conducted is to use a predetermined strategy that doesn't entail any forecasting, called passively managed investment. The idea is to minimize investing fees and to avoid the adverse consequences of failing to correctly anticipate the future. With low management fees, higher returns in such fund (compared to a similar fund with similar investments but
[Dow-Jones Plus fund] | |
-------------------------------------------------
Word Count: 3750
Word Count: 3750
Table Of Content Objective 2 Part A - Passively managed investment Optimal passive fund from historical data estimates Methodology overview 3 Steps in Practice 4 Optimal passive fund from CAPM model Applying CAPM 6 CAPM’s application 6 Steps in practice 6 Part B - Actively managed investment Problem defined 10 Solution: Black – Litterman Model 11 Application for Dow Jones Plus Fund 12 Review on the Portfolio 13 Conclusion 14 Part C – Portfolio performance and Style analysis Portfolio performance Sharpe’s Measure 16 Treynor’s Measure 16 Jensen’s Measure 17 M2 Measurement 17 Style analysis Style analysis 18 Benchmark indices 18 Fund’s return 19 Conclusion 19 Reference 21
Objective
Dow-Jones Plus is a newly established fund of Javis Mutual Fund, focusing on the Dow Jones Industrial Average. Starting with US$10 million and following active managing style, the fund’s goal is to outperform the DJIA index and the also outperform the style benchmark portfolio.
This report is to show the investment strategy of our Board Management in constructing the portfolio. Through a well-certificated process, with detailed historical data, thorough analysis and expert opinions, it is supposed to reach the goal, and thus, acquire the trust and support from investors.
Part A
Passively managed investment
Investment Strategy
Now that ten constituents of the portfolio have been determined, the investment strategy firstly conducted is to use a predetermined strategy that doesn't entail any forecasting, called passively managed investment. The idea is to minimize investing fees and to avoid the adverse consequences of failing to correctly anticipate the future. With low management fees, higher returns in such fund (compared to a similar fund with similar investments but