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Mutual fund performance

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documents in English
case study
12 pages
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Validated by
  1. Introduction
  2. Analyze and interpretations of data
  3. Linear regression
  4. 4 factors alpha : Carhart
  5. Fama-MacBeth Cross-Sectional Tests
  6. Conclusion

The principal investment strategies are, for MIGSF, to invest at least 80 % of the fund's net assets in stocks of company, of any size but with a large capitalization, which has above average earnings growth potential. MIGSG invests also in foreign securities. For AMF, the investment strategy is resumed by the achievement of three mains objectives ? current income, growth of capital and conservation of principal ? through investments in companies (with higher quality but less volatility) that participate in the growth of the American economy. According to VUGF, "The fund employs a 'passive management'--or indexing--investment approach designed to track the performance of the MSCI U.S. Prime Market Growth Index, a broadly diversified index predominantly made up of growth stocks of large U.S. companies. The fund attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index".

The objective of this take home assignment is to work on four US mutual funds. As a result, we have to develop a critical and analytical report by studying average returns, volatility, Sharpe ratio?, but also by estimate a one-factor alpha, a three-factor alpha, based on the Fama and French model, and a four-factor alpha and momentum factor, based on Carhart. We will, also, interpret alphas, coefficients in these regressions and funds performances. To do this study, we will combine information on the funds and from my own econometrics analysis, in order to compare funds as if this report would be read by an interested investor.

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