Mutual Fund Project

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TABLE OF CONTENTS

SECTION I – FIVE MUTUAL FUNDS COMPARATIVE ANALYSIS 1

FIGURE 1 – Fund Objective and Asset Allocation 2

SECTION I – FIVE MUTUAL FUNDS COMPARATIVE ANALYSIS 2

2.1 TABLE 1 – Five Mutual Funds 2

2.2 TABLE 2 – Covariance Matrix 4

2.3 TABLE 3 – Correlation Matrix 4

2.4 TABLE 4 – Largest Holdings 5

SECTION II – MEASURING RISK 8

3.1 FIG 2 – HPR,s using T-Bills and S&P TSX 60 Index 8

3.2 FIG 3 – HPR’s using T-Bills and S&P TSX Composite Index 9

3.3 TABLE 5 – T-Bill Rates and Index Levels 10

3.4 FIG 4 – Runs Test 12

SECTION III – ASSESSMENT AND RANKING 13

4.1 TABLE 6 – Equally Weighted Portfolio 13

4.2 FIG 5 – 10 Year Performance Data 13

4.3 Graph 1 – 10 Year Performance of $1000 Investment 14

4.4 FIG 6 – Efficient Set Data (Inputs) 15

4.5 FIG 7 – Efficient Data Set (Outputs) 16

4.6 Graph 2 – Efficient Frontier Set 17

4.6 TABLE 7 – Rank and Performance 18

5.0 Conclusion 21

Appendix A- Beta Calculation for the S&P TSX 60 22

Appendix B – Beta Calculation for S&P TSX Composite 27

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SECTION I: FIVE MUTUAL FUNDS COMPARATIVE ANALYSIS

This assignment is intended to provide a comparative analysis of five separate no-load, different objectives mutual funds with 10 years of data. The five mutual funds that this assignment will focus on are:

I. Ariel (ARGFX): The purpose of this mutual fund is to seek out smaller-cap stocks that are selling at a discount of 40% or more to their intrinsic values. The portfolio manager favors firms with strong brands or franchises that operate in consistent and stable industries, have sound balance sheets, generate lots of cash, and have strongly motivated management teams. The fund tends to focus on exposure to volatile sectors such as technology and biotech, and big stakes in consumer goods, services, and industrial materials.

II. Fidelity Convertible Securities (FCVSX): The primary objective of this investment is to seek high current income consistent with reasonable risk; capital...