Portfolio Assignment 2 Final Report - XIAMEN UNIVERSITY MALAYSIA Mark Course Code FIN305 Course Name Portfolio Management Lecturer Annuar MD Nassir

Portfolio Assignment 2 Final Report - XIAMEN...

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XIAMEN UNIVERSITY MALAYSIA Course Code : FIN305 Course Name : Portfolio Management Lecturer : Annuar MD Nassir Academic Session : 2020/04 Assessment Title : Assignment 2 Submission Due Date : 17 July 2020 Prepared by : Student ID Student Name FIN1709766 CHONG KAR CHUN Date Received : Feedback from Lecturer: Mark:
XIAMEN UNIVERSITY MALAYSIA Own Work Declaration I/We hereby understand my/our work would be checked for plagiarism or other misconduct, and the softcopy would be saved for future comparison(s). I/We hereby confirm that all the references or sources of citations have been correctly listed or presented and I/we clearly understand the serious consequence caused by any intentional or unintentional misconduct. This work is not made on any work of other students (past or present), and it has not been submitted to any other courses or institutions before. Signature: Date:
1.0 Introduction Portfolio performance evaluation is the process of evaluating the performance of multiple investment portfolios. You can also know the comparison between the return on the investment portfolio and the return earned on the portfolio benchmark. Portfolio performance evaluation includes two functions, including performance evaluation and performance evaluation. Performance evaluation measures the total return of the investment portfolio during the investment period. In contrast, portfolio evaluation involves determining whether the performance of a particular portfolio is relative or below the portfolio benchmark. (MBA Knowledge Base, 2010) 2.0 Data Computation for 20 unit/mutual funds The first step in evaluating portfolio performance is that we must use the following formula to calculate the daily return of a 20-unit trust fund (preferably a positive average return): R jt = NAV jt NAV jt 1 NAV jt 1 Rjt: return of unit trust (or mutual fund) j at time t NAVjt: Average (of buy and sell) Net Asset value of unit trust fund j at time t NAVjt-1: Average (of buy and sell) Net Asset value of unit trust fund j at time t-1 (1 period before) After calculating the daily return, we must use the following formula to calculate the standard deviation, average return, negative equity return and beta of each unit trust. Average returnof unit trust J : R j = R jt n Definition : The average return is the simple mathematical average of a series of returns generated over a period of time. Formula: 1
R jt R J ¿ 2 ¿ ¿ ¿ ¿ Standard deviationreturn of unit trust J : σ = ¿ Definition: Standard deviation is used to measure the dispersion of the data set relative to the average. Formula: Cov ij = i = 1 n [ R i E ( r I ) ] [ R j E ( R j ) ]/ n Definition: Covariance measures the directional relationship between two asset returns. Positive covariance means that asset returns move together, while negative covariance means that they move in reverse.

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