5 Some web browsers may not work with this link. You need to allow popup windows or switch to a different web browser in order to view the PDF files for the annual reports. 5
The detailed report should include the following sections, with tables and figures, necessary explanations, or additional discussions. 1. Investment strategy 2. Fund facts • Net portfolio value as of Friday, Nov 17 • Pie chart of holdings with percent invested as of Friday, Nov 17 3. Performance • A table with the following statistics for your portfolio and the benchmark – Total return over the 4 weeks – Return of each week (between closing portfolio values of Fridays) – Best week return – Worst week return – Average daily return – Standard deviation of daily returns • A chart showing how the value grows for $10000 invested in your portfolio versus in the benchmark over the 4 weeks 6 • Sharpe ratios of your portfolio and the benchmark using daily returns • Beta and alpha of your portfolio estimated from the regression of daily excess returns of your portfolio on those of the benchmark Do not annualize your results. There is no need to provide the accounting statements or disclosures such as those in the appendices of the sample Vanguard reports. The length of the entire report is your decision. The sample Vanguard reports are “long” mostly because of the appendices. Submission and grading Submit the Excel data file and the annual report (in Word or PDF) under Assignments on the course website on Canvas. 6 In other words, imagine that an investor invests $10000 in your fund of $1 million initial capital. If your fund value rises by 10% to $1.1 million, then her investment grows to $11000, and so on. 6
If you work together in a group, only one submission by one of the members is needed. You must clearly list the names of all group members in the file, and in addition, also include the last names of all group members in the file name. Canvas allows re-submissions, and only the final submission files will be used for grading. Late submissions will not be accepted by the course website. Out of a total of 20 points, 10 points will be determined by whether you have met the requirements on trading activities, and 10 points will be determined by your report. Because the trading period of 4 weeks is too short to make a meaningful comparison, your performance ranking will not be included in the grading. It is, however, always an interesting experience to observe how many of the teams end up outperforming the S&P 500 index. 7
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- Spring '14