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Evaluation of Mutual Funds Performance (B): Risk-Adjusted
內容大綱
A recent MBA graduate from a premier business school in India successfully secured a position with a major investment firm. After starting his job, he was asked by his supervisor to evaluate the performance of three mutual funds in which he had invested as a student. He completed a primary evaluation of those three funds, which were all large-cap funds. The recent graduate was then asked by his supervisor to conduct a new evaluation of the same three mutual funds to assess their risk adjustment. His new objective was to better understand the performance of the three mutual funds and determine which was the best investment choice based on risk adjustment.
學習目標
This exercise is suitable for investment management courses at the graduate level. It provides an in-depth analysis of the concept of portfolio evaluation for active and passive fund management. The exercise allows students to understand the calculation, analysis, and interpretation of certain portfolio performance evaluation measures using Microsoft Excel. Quarterly returns of three mutual funds and the Nifty 50 index from 2016 to 2023 are provided for students in an accompanying student spreadsheet. Calculations are provided for the instructor in a second accompanying Excel spreadsheet. After completion of this exercise, students will be able to:<ul><li>Evaluate fund performance using the Sortino ratio.</li><li>Evaluate fund performance using the upside potential ratio.</li><li>Evaluate fund performance using the information ratio.</li><li>Evaluate fund performance using the Treynor square (T²) ratio.</li></ul>