a) Calculate how much the fund has at each point in time.
Hint: Start with the number of Sears and AIG shares owned at each point in time. Then calculate the amount of cash held at each point in time, taking into account client flows, stocks purchases/sales, and dividend receipts. Then add the value of stock positions to the amount of cash held.
b) What is the dollar-weighted average return of the fund? (monthly and annualized)
c) What is the time-weighted average return of the fund? (monthly and annualized)
d) What is the Sharpe Ratio of fund (monthly and annualized)? What is the CAPM alpha of the fund (monthly and annualized). Assume the risk-free rate is equal to zero throughout the entire period, and that the Russell 3000 index is the Market Portfolio. Hint: compute monthly returns, making sure they are unaffected by clients’ flows.
e) What is the Information Ratio of the fund? (Monthly and annualized). Assume the Russell 3000 is the benchmark.
f) What is the Maximum Draw Down of the fund?
g) Are fund managers doing a good job?
Shares purchased/sold Price per share Dividend per share Russell 3000 with div.
Client flow Sears AIG Sears AIG Sears AIG
31-Dec-11 10000 200 200 25.75 22.19 0 0 3449.92
30-Jan-12 0 0 0 34.15 25.11 0 0 3571.83
28-Feb-12 0 0 0 56.45 29.22 0 0 3732.76
31-Mar-12 0 0 0 53.69 30.83 0 0 3866.13
30-Apr-12 0 0 0 43.58 34.03 0 0 3810.91
31-May-12 0 0 0 40.03 29.18 0 0 3638.04
30-Jun-12 0 0 0 48.38 32.09 0 0 3728.72
31-Jul-12 0 0 0 40.11 31.27 0 0 3769.23
31-Aug-12 0 0 0 42.75 34.33 0 0 3850.65
30-Sep-12 0 0 0 44.97 32.79 0 0 3955.86
31-Oct-12 0 0 0 50.79 34.93 0 0 3878.72
30-Nov-12 0 0 0 34.04 33.13 0 0 3874.14
31-Dec-12 10000 150 100 33.52 35.30 0 0 3956.65
30-Jan-13 0 0 0 38.05 37.83 0 0 4179.75
28-Feb-13 0 0 0 36.47 38.01 0 0 4151.61
31-Mar-13 0 0 0 40.49 38.82 0 0 4370.52
30-Apr-13 0 0 0 41.6 41.42 0 0 4452.47
31-May-13 0 0 0 39.57 44.46 0 0 4648.17
30-Jun-13 0 0 0 34.1 44.70 0 0 4543.36
31-Jul-13 0 0 0 37.12 45.51 0 0 4752.44
31-Aug-13 0 100 -100 35.85 46.46 0 0.100 4646.54
30-Sep-13 0 0 0 48.21 48.63 0 0 4799.28
31-Oct-13 0 0 0 47.07 51.65 0 0 5024.42
30-Nov-13 0 0 0 51.48 49.75 0 0.100 5131.71
31-Dec-13 0 0 0 39.74 51.05 0 0 5262.98
31-Jan-14 0 0 0 29.47 47.96 0 0 5105.86
28-Feb-14 0 0 0 36.26 49.77 0 0.125 5323.05
31-Mar-14 0 0 0 38.7 50.01 0 0 5388.41
30-Apr-14 0 0 0 43.81 53.13 0 0 5349.34
31-May-14 0 0 0 42.06 54.07 0 0.125 5516.72
30-Jun-14 0 0 0 39.96 54.58 0 0 5650.94
31-Jul-14 0 0 0 38.15 51.98 0 0 5669.33
31-Aug-14 0 0 0 34.8 56.06 0 0.125 5774.29
30-Sep-14 0 0 0 27.4 54.93 0 0 5775.62