Chapter S3 covers evaluation of portfolio performance. In the real world, alloca

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Chapter S3 covers evaluation of portfolio performance. In the real world, allocators and consultants analyze funds for inclusion in their portfolios and usually keep lists of funds in each category. For instance, a consultant might have vetted five or six domestic small cap equity funds that it recommends to its clients. This is known as an “approved list.” Your assignment is to conduct an analysis of a fund of your choice, and write a report advocating a fund for addition to an approved list. It can be a fund in any category, fixed income, equity or alternative. Some of the key aspects of the report should include: • EXECUTIVE SUMMARY – Give the main reasons why you recommend the fund. • PROFILE – The description the fund such as its mandate, style (growth/value/core), cap band (small/mid/large) and geographic focus (domestic/developed/emerging). Also include the fund’s fees and expenses, and amount of assets under management. • PERFORMANCE – The fund’s returns over a one, three and five-year history compared to its benchmark (be sure to note what its benchmark is). Include any other performance metrics you can find. Some suggestions: Sharpe ratio, Sortino ratio, information ratio, historical alpha, beta, duration (for a bond fund). Feel free to use charts and other visual aids. • OTHER INFORMATION – Analyses like this usually include due diligence like the length of tenure of the lead manager, the portfolio’s annual turnover, etc. Again, whatever you can find that you see as relevant. You should choose an actively managed fund for your analysis. You are free to choose a hedge fund or other private fund, but keep in mind that information on public mutual funds is a lot easier to find. The SMC library’s subscription to Morningstar Investment Research Center can be a major resource for this. The report should be a minimum of three pages. As with other assignments, you should be satisfied that you provided all of the information to prove your point. WARNING: You may use sources like Morningstar and Yahoo! Finance, and copy charts from those sites (be sure to cite them). The language of the report should be your own. Copying whole passages from source reports will reduce your grade. The assignment is due at the beginning of class on the date above, turned in on Moodle

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