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XIAMEN UNIVERSITY MALAYSIACourse Code:FIN305Course Name:Portfolio ManagementLecturer:Annuar MD NassirAcademic Session:2020/04Assessment Title:Assignment 2Submission Due Date:17 July 2020Prepared by:Student IDStudent NameFIN1709766CHONG KAR CHUNDate Received:Feedback from Lecturer:Mark:
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1.0 IntroductionPortfolio performance evaluation is the process of evaluating the performance of multipleinvestment portfolios. You can also know the comparison between the return on the investmentportfolio and the return earned on the portfolio benchmark. Portfolio performance evaluationincludes two functions, including performance evaluation and performance evaluation.Performance evaluation measures the total return of the investment portfolio during theinvestment period. In contrast, portfolio evaluation involves determining whether theperformance of a particular portfolio is relative or below the portfolio benchmark. (MBAKnowledge Base, 2010)2.0 Data Computation for 20 unit/mutual fundsThe first step in evaluating portfolio performance is that we must use the following formula tocalculate the daily return of a 20-unit trust fund (preferably a positive average return):Rjt=NAVjt−NAVjt−1NAVjt−1Rjt: return of unit trust (or mutual fund) j at time tNAVjt: Average (of buy and sell) Net Asset value of unit trust fund j at time tNAVjt-1: Average (of buy and sell) Net Asset value of unit trust fund j at time t-1 (1 periodbefore)After calculating the daily return, we must use the following formula to calculate the standarddeviation, average return, negative equity return and beta of each unit trust.Average returnof unit trust J:Rj=∑RjtnDefinition: The average return is the simple mathematical average of a series of returnsgenerated over a period of time.Formula:1
Rjt−RJ¿2¿¿∑¿¿Standard deviationreturn of unit trust J:σ=√¿Definition: Standard deviation is used to measure the dispersion of the data set relative to theaverage.Formula:Covij=∑i=1n[Ri−E(rI)][Rj−E(Rj)]/nDefinition: Covariance measures the directional relationship between two asset returns. Positivecovariance means that asset returns move together, while negative covariance means that theymove in reverse.