Mutual Fund Project by Luka Radosevic:

Part A: Funds 2010 2011 2012 2013 2014 2015 2016 2017
TRBCX 16.42% 1.50% 18.41% 41.57% 9.28% 11.15% 0.98% 36.55%
FIGFX 16.94% (8.95%) 19.77% 22.18% (3.13%) 3.93% (3.30%) 29.76%
VWEHX 12.40% 7.13% 14.36% 4.54% 4.58% (1.40%) 11.19% 7.02%
PRSVX 25.24% (0.60%) 17.76% 32.74% 0.14% (4.70%) 28.97% 13.37%
PRDSX 33.50% 1.54% 15.69% 44.19% 6.38% 2.33% 11.31% 22.12%

Part B: Cov. TRBCX FIGFX VWEHX PRSVX PRDSX

TRBCX 0.020312 0.018433 0.001538 0.010218 0.01704
FIGFX 0.018433 0.022511 0.004734 0.013843 0.018492
VWEHX 0.001538 0.004734 0.003322 0.006037 0.004589
PRSVX 0.010218 0.013843 0.006037 0.020527 0.018379 Numbers In the matrix obtained using t
PRDSX 0.01704 0.018492 0.004589 0.018379 0.022405

Part C: Correl. TRBCX FIGFX VWEHX PRSVX PRDSX

TRBCX 1 0.894723 0.249289 0.562206 0.825996
FIGFX 0.894723 1 0.562652 0.652677 0.822535
VWEHX 0.249289 0.562652 1 0.729528 0.547566 Numbers In the matrix obtained using t
PRSVX 0.562206 0.652677 0.729528 1 0.867348
PRDSX 0.825996 0.822535 0.547566 0.867348 1

Part D: Prospectus Top 5 Holdings

T.Rowe Price Blue Chip Growth AMZN FB MSFT BABA GOOGL
Fidelity International Growth NSRGY RHHBY ASML KYCCF AAGIY
Vanguard High-Yield Corp TMUS GOVT GOVT GOVT GOVT
T.Rowe Price Small-Cap Value PMT CABO PNM HASI AAN
T-Rowe Price QM U.S. Small-Cap Growth Equity NGHC SAM ENTG MPWR CASY
 2018 2019 YTD Average Geo. Mean Std. Deviation Current Value of $1000
2.01% 29.97% 33.79% 18.33% 17.48% 14.95% $ 5,885
(11.51%) 33.96% 13.56% 10.29% 9.26% 15.74% $ 2,650
(2.96%) 15.79% 4.64% 7.03% 6.87% 6.04% $ 2,077
(11.49%) 25.84% 8.93% 12.38% 11.45% 15.03% $ 3,294
(6.86%) 32.76% 20.08% 16.64% 15.69% 15.70% $ 4,968

n the matrix obtained using the Data Analysis function in Excel

n the matrix obtained using the Data Analysis function in Excel

Numbers for S&P 500 and Dow Jones return by Yahoo Finance:

S&P 500 2010 2011 2012 2013 2014 2015 2016 2017
Return 14.93% 2.06% 15.84% 32.21% 13.53% 1.34% 11.80% 24.69%

Beta Estimation relative to S&P 500 (Funds Standard Deviation/S&P Standards Deviation multiplied by the correlation):
TRBCX FIGFX VWEHX PRSVX PRDSX
Std. Dev. 14.95% 15.74% 6.04% 15.03% 15.70%
Correl. 0.83 0.86 0.57 0.80 0.90
Est. Beta 1.05 1.15 0.29 1.01 1.19

DJI 2010 2011 2012 2013 2014 2015 2016 2017

Return 13.87% 8.21% 10.04% 29.41% 9.88% 10.00% 16.28% 27.97%

Beta Estimation relative to the Dow Jones:

TRBCX FIGFX VWEHX PRSVX PRDSX
Std. Dev. 14.95% 15.74% 6.04% 15.03% 15.70%
Correl. 0.68 0.75 0.45 0.75 0.78
Est. Beta 1.00 1.17 0.27 1.11 1.22

Another way of getting Beta (Covariance/Variance):

US.T-Bills 2010 2011 2012 2013 2014 2015 2016 2017
Return 3.47% 2.21% 1.85% 2.72% 1.93% 1.77% 2.40% 2.74%

Using the S&P 500 Returns: Using the Dow Jones Returns:
TRBCX FIGFX VWEHX PRSVX PRDSX TRBCX FIGFX
Covariance 0.013292 0.0146192 0.0036813 0.0128614 0.0151502 0.009318 0.010883
Variance 0.012694 0.0126945 0.0126945 0.0126945 0.0126945 0.009282 0.009282
Beta 1.05 1.15 0.29 1.01 1.19 1.00 1.17
 2018 2019 YTD Std. Dev
(4.45%) 31.29% 14.59% 11.82%

multiplied by the correlation):

2018 2019 YTD Std. Dev

(3.60%) 25.09% 5.73% 10.1%

2018 2019 YTD

2.41% 0.70% 0.94%

Dow Jones Returns:

VWEHX PRSVX PRDSX
0.00252 0.010311 0.011285
0.009282 0.009282 0.009282
0.27 1.11 1.22
Part D:

There are multiple methods for finding beta. Some of the most popular ones include: CAPM,
Covariance/Variance, Division between the standard deviations of the market and the funds
which then we multiply by the correlation, Slope formula in Excel, etc. Some of these formula's
would yield different numbers, especially CAPM. Therefore, I have used the methods which
would yield the same results. By using the Covariance/Variance, Division between the Standard
Deviations and multiplication with correlation, and Slope formula method I have obtained the
same betas in all three formulas (S&P highlighted with grey, DJI highlighted with light blue).
When CAPM was used, the beta was significantly different from other methods.
Consequentially, I have took it out from the spreadsheet (the table with T-Bill yields is still there
as a part of the assigment). Beta was slightly different between the two benchmarks. The
reason for this is in the difference between the benchmarks. DJI is price weighted, while S&P is
value-weighted. This isn't a significant difference, but the companies that comprise each index
are the reason for the minor differences. The goal of each index is to show the current state of
the market. With that goal in mind, the index is constructed. Both indexes are different in that
regard. S&P 500 catches the state of the market sligthly better in my opinion, based on the size
and the number of companies comprising it. Hence, the difference. Also, formulas for beta
include std. deviation and variance (exept CAPM). These volatility measures, which describe the
dispersion of the data from its mean, could be the cause for the slight difference in betas since
there is a difference in the means between the arays.
Returns of the 5 Funds:

50.00%

44.19%
41.57%

40.00%

33.50%
32.74%

30.00%
25.24%

22.18%
19.77%
20.00% 18.41% 17.76%
16.42%16.94% 15.69%
14.36%
12.40%
11.15%
9.28%
10.00%
7.13%
6.38%
4.54% 4.58% 3.93%
1.50% 1.54%
0.14%
0.00%
2010 2011(0.60%) 2012 2013 2014 201
(1.40%
(3.13%)

(10.00%) (8.95%)

(20.00%)

$1000 Invested 2010 2011 2012 2013 2014 2015 2016

TRBCX $ 1,164 $ 1,182 $ 1,399 $ 1,981 $ 2,165 $ 2,406 $ 2,430
FIGFX $ 1,169 $ 1,065 $ 1,275 $ 1,558 $ 1,509 $ 1,569 $ 1,517
VWEHX $ 1,124 $ 1,204 $ 1,377 $ 1,440 $ 1,506 $ 1,484 $ 1,651
PRSVX $ 1,252 $ 1,245 $ 1,466 $ 1,946 $ 1,949 $ 1,857 $ 2,395
PRDSX $ 1,335 $ 1,356 $ 1,568 $ 2,261 $ 2,406 $ 2,462 $ 2,740

$1000 Throught the years:

$7,000

$6,000

$5,000

$4,000

$3,000

$2,000

$1,000

$-
2010 2011 2012 2013 2014 201
$2,000

$1,000

$-
2010 2011 2012 2013 2014 201
 36.55%
33.96% 33.79%
32.76%

29.76% 29.97%
28.97%

25.84%

22.12%
20.08%

15.79%
13.37% 13.56%
11.15% 11.19% 11.31%
% 8.93%
6.38% 7.02%
4.58% 3.93% 4.64%
2.33% 2.01%
0.98%
0.14%

2014 2015
(1.40%)
2016 2017 2018 2019 YTD
(3.13%) (3.30%) (2.96%)
(4.70%)
(6.86%)

(11.51%) (11.49%)

2017 2018 2019 YTD Sparkline Graphs:

$ 3,318 $ 3,384 $ 4,399 $ 5,885
$ 1,968 $ 1,742 $ 2,333 $ 2,650
$ 1,766 $ 1,714 $ 1,985 $ 2,077
$ 2,715 $ 2,403 $ 3,024 $ 3,294
$ 3,346 $ 3,117 $ 4,137 $ 4,968

2014 2015 2016 2017 2018 2019 YTD

2014 2015 2016 2017 2018 2019 YTD
% 33.79%
32.76%

25.84%
TRBCX
20.08% FIGFX
15.79%
VWEHX
13.56% PRSVX
8.93%
PRDSX

4.64%

2019 YTD

TRBCX
FIGFX
VWEHX
PRSVX
PRDSX

2019 YTD
2019 YTD
Mean-Variance Efficiency Graph: Weights used in the calculation of the portfolio's return will be 30%, 10%, 15%

Fund Portfolio 2010 2011 2012 2013 2014 2015 2016

TRBCX 0.04926 0.0045 0.05523 0.12471 0.02784 0.03345 0.00294
FIGFX 0.01694 -0.00895 0.01977 0.02218 -0.00313 0.00393 -0.0033
VWEHX 0.0186 0.010695 0.02154 0.00681 0.00687 -0.0021 0.016785
PRSVX 0.05048 -0.0012 0.03552 0.06548 0.00028 -0.0094 0.05794
PRDSX 0.08375 0.00385 0.039225 0.110475 0.01595 0.005825 0.028275
Yearly Return 21.90% 0.89% 17.13% 32.97% 4.78% 3.17% 10.26%

Expected Return Std. Dev

TRBCX 18.33% 14.95%
FIGFX 10.29% 15.74%
VWEHX 7.03% 6.04%
PRSVX 12.38% 15.03%
PRDSX 16.64% 15.70%
Fund Portfolio 14.22% 12.20%

Another way for finding the Fund's Expected return (used this method in order to check if my calculation was right):

Weights Expected R. Product

TRBCX 0.3 18.33% 0.05499
FIGFX 0.1 10.29% 0.010292
VWEHX 0.15 7.03% 0.01054
PRSVX 0.2 12.38% 0.024764
PRDSX 0.25 16.64% 0.0416

Fund Portfolio 14.22%

s return will be 30%, 10%, 15%, 20%, and 25% respectively (assuming that I have $100,000 to invest)

2017 2018 2019 YTD

0.10965 0.00603 0.08991 0.10137
0.02976 -0.01151 0.03396 0.01356
0.01053 -0.00444 0.023685 0.00696
0.02674 -0.02298 0.05168 0.01786
0.0553 -0.01715 0.0819 0.0502
23.20% -5.01% 28.11% 19.00%

Graph of E(r) and Std. Dev

18.00%

16.00%

14.00%

12.00%

10.00%

8.00%
if my calculation was right):
6.00%

4.00%

2.00%

0.00%
6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00% 20.00%
18.00% 20.00%
Calculations of Sharpe and Traynor based on Excess Returns (actuall returns minus risk-free rate): Move the pa

TRBCX Returns Risk-Free Rate Excess Returns FIGFX Returns Risk-Free Rate
2010 16.42% 3.47% 12.95% 2010 16.94% 3.47%
2011 1.50% 2.21% (0.71%) 2011 (8.95%) 2.21%
2012 18.41% 1.85% 16.56% 2012 19.77% 1.85%
2013 41.57% 2.72% 38.85% 2013 22.18% 2.72%
2014 9.28% 1.93% 7.35% 2014 (3.13%) 1.93%
2015 11.15% 1.77% 9.38% 2015 3.93% 1.77%
2016 0.98% 2.40% (1.42%) 2016 (3.30%) 2.40%
2017 36.55% 2.74% 33.81% 2017 29.76% 2.74%
2018 2.01% 2.41% (0.40%) 2018 (11.51%) 2.41%
2019 29.97% 0.70% 29.27% 2019 33.96% 0.70%
YTD 33.79% 0.94% 32.85% YTD 13.56% 0.94%

Mean 16.23% Mean 8.19%

Std. Dev 15.10% Std. Dev 15.88%
Beta 1.05 Beta 1.15
Sharpe 1.07 Sharpe 0.52
Traynor 0.15 Traynor 0.07
Geo.Mean 17.48% Geo.Mean 9.26%

Rankings based on different measures:

Sharpe Traynor Geo.Mean

1. TRBCX 1. VWEHX 1. TRBCX
2. Portfolio 2. TRBCX 2. PRDSX
3. PRDSX 3. PRDSX 3. PRSVX
4. VWEHX 4. Portfolio 4.Portfolio
5. PRSVX 5. PRSVX 5. FIGFX
6. FIGFX 6. FIGFX 6. VWEHX
k-free rate): Move the page to the right for the last security and portfolio calculations -------------------------->

Excess Returns VWEHX Returns Risk-Free Rate Excess Returns PRSVX

13.47% 2010 12.40% 3.47% 8.93% 2010
(11.16%) 2011 7.13% 2.21% 4.92% 2011
17.92% 2012 14.36% 1.85% 12.51% 2012
19.46% 2013 4.54% 2.72% 1.82% 2013
(5.06%) 2014 4.58% 1.93% 2.65% 2014
2.16% 2015 (1.40%) 1.77% (3.17%) 2015
(5.70%) 2016 11.19% 2.40% 8.79% 2016
27.02% 2017 7.02% 2.74% 4.28% 2017
(13.92%) 2018 (2.96%) 2.41% (5.37%) 2018
33.26% 2019 15.79% 0.70% 15.09% 2019
12.62% YTD 4.64% 0.94% 3.70% YTD

Mean 4.92% Mean

Std. Dev 6.17% Std. Dev
Beta 0.29 Beta
Sharpe 0.80 Sharpe
Traynor 0.17 Traynor
Geo.Mean 6.87% Geo.Mean
------------->

Returns Risk-Free Rate Excess Returns PRDSX Returns Risk-Free Rate Excess Returns
25.24% 3.47% 21.77% 2010 33.50% 3.47% 30.03%
(0.60%) 2.21% (2.81%) 2011 1.54% 2.21% (0.67%)
17.76% 1.85% 15.91% 2012 15.69% 1.85% 13.84%
32.74% 2.72% 30.02% 2013 44.19% 2.72% 41.47%
0.14% 1.93% (1.79%) 2014 6.38% 1.93% 4.45%
(4.70%) 1.77% (6.47%) 2015 2.33% 1.77% 0.56%
28.97% 2.40% 26.57% 2016 11.31% 2.40% 8.91%
13.37% 2.74% 10.63% 2017 22.12% 2.74% 19.38%
(11.49%) 2.41% (13.90%) 2018 (6.86%) 2.41% (9.27%)
25.84% 0.70% 25.14% 2019 32.76% 0.70% 32.06%
8.93% 0.94% 7.99% YTD 20.08% 0.94% 19.14%

10.28% Mean 14.54%

14.92% Std. Dev 15.63%
1.01 Beta 1.19
0.69 Sharpe 0.93
0.10 Traynor 0.12
15.03% Geo.Mean 15.70%
 Portfolio Returns Risk-Free Rate Excess Returns
2010 21.90% 3.47% 18.43%
2011 0.89% 2.21% (1.32%)
2012 17.13% 1.85% 15.28%
2013 32.97% 2.72% 30.25%
2014 4.78% 1.93% 2.85%
2015 3.17% 1.77% 1.40%
2016 10.26% 2.40% 7.86%
2017 23.20% 2.74% 20.46%
2018 -5.01% 2.41% (7.42%)
2019 28.11% 0.70% 27.41%
YTD 19.00% 0.94% 18.06%

Mean 12.11%
Std. Dev 12.24%
Beta 0.97
Sharpe 0.99
Traynor 0.12
Geo.Mean 13.62%