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  • FIN 9857 HW 2 Fall 2016 PDF

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    lleee
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    This homework assignment asks students to: 1) Repeat a portfolio exercise from the previous month using a new investment period of October 31st to November 30th. 2) Evaluate portfolio performance using the Brinson-Fachler Attribution Model and compare results to the previous month. 3) Submit a narrative evaluation of portfolio performance for November, comparing it to October and addressing benchmark performance, portfolio performance, excess returns, out of benchmark holdings, allocation and selection effects, and an overall assessment of macro allocation and security selection skills.

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    FIN 9857 HW 2 Fall 2016(1) (1).pdf

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    This homework assignment asks students to: 1) Repeat a portfolio exercise from the previous month using a new investment period of October 31st to November 30th. 2) Evaluate portfolio performance using the Brinson-Fachler Attribution Model and compare results to the previous month. 3) Submit a narrative evaluation of portfolio performance for November, comparing it to October and addressing benchmark performance, portfolio performance, excess returns, out of benchmark holdings, allocation and selection effects, and an overall assessment of macro allocation and security selection skills.

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    © All Rights Reserved
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    Отметить как неприемлемый контент
    14 просмотров1 страница

    FIN 9857 HW 2 Fall 2016 PDF

    Загружено:

    lleee
    This homework assignment asks students to: 1) Repeat a portfolio exercise from the previous month using a new investment period of October 31st to November 30th. 2) Evaluate portfolio performance using the Brinson-Fachler Attribution Model and compare results to the previous month. 3) Submit a narrative evaluation of portfolio performance for November, comparing it to October and addressing benchmark performance, portfolio performance, excess returns, out of benchmark holdings, allocation and selection effects, and an overall assessment of macro allocation and security selection skills.

    Авторское право:

    © All Rights Reserved
    Скачайте в формате PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    из 1

    FIN9857Fall2016 Homework#2

    HomeworkAssignment#2
    Weight:10%
    DueinclassonWednesday,December7(hardcopyonly)

    Repeattheportfolioexercisepreciselyasyoudidforhomework#1,butassumeyourinvestmentperiod
    nowisfrom10/31to11/30.

    Recreatethesameportfolioresultsusingthenewinvestmentperiodandevaluateyourperformance
    usingBrinsonFachlerAttributionModel.Assumethebenchmarkrebalancedtothesamebeginning
    weightsandyoumadethesameexactsectorandsecuritybetsinNovemberasyoudidinOctober.

    Printouttheportfolioresultsforbothperiods.

    Providethenarrativeevaluationofyourperformanceforthesecondperiod(November),andcompare
    tothatofthefirstperiod(October).

    Ensureyournarrativeincludesatleastthefollowingpoints:

    Benchmarkperformance,includingsectorandsecuritycontributors
    Portfolioperformance,includingsectorandsecuritycontributors
    Excessreturnandcontributors
    Outofbenchmarkholdingsandtheirimpact
    Allocationandselectioneffectsandspecificoverweight/underweightdecisionsthatdroveit
    Interactioneffectinterpretationwhywasitpositiveornegativeforagivensector
    Overallassessmentofyourmacroallocationandsecurityselectionskills
    Comparisonofresultsfromthetwoinvestmentperiods(forbenchmark,portfolio,andexcess
    returns)

    Youwillbegradedontheaccuracyofthecontentaswellasthepresentationofyourwrittenwork,soin
    additiontoelaboratingontherelevantpoints,pleasesubmitneatandreadablematerial.

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