The Measurement of Portfolio Performance

The Measurement of Portfolio Performance

The dissertation will be about the unit trust mutual funds in UK between the years 2000-2015.The mutual funds data can be downloaded from Datastream and will be looked for Jensen’s alpha’s excess returns while using ftse100 as a benchmark.While creating the methodology i also wanted to add the crisis effect as a dummy variable next to hml,smb and momentum factor.(I wanted to analyze it in 3 prediods like 2000-2007 as pre-crisis,2007-2010 crisis and 2010-2015 as the post crisis period.If you have a better idea you can recreate the methodology.It is open to change.

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The sub questions of the dissertation can be asked by the author(like persistence of funds or survivorship bias…).While writing the dissertation some simple ratios like sharp,treynor,fama french can be used but it will be based on carharts four factor model.I will let the author to decide using the returns monthly,quarterly or yearly.

The mutual fund sample has to be between 50-100 unit trust active uk mutual funds.The main question is if the active management outperformed the market,is there an alpha ? I put some of the data that might help you.And in the end of the dissertation with the dissertation i would like to have the excel files that you have worked on.

You may need to use Stata or eviews to work on the data.I already downloaded 50 mutual funds before from datastream but there might be some inaccuracy.If you have any question don’t hesitate to ask.Good luck.