Investments and Portfolio

Management Escola de Economia e Gestão

Master in Finance
I

Instructions for group assignment (2023/2024)

Composition of the teams

Students should organize themselves into teams of 4/5 students.

Deliverables
‒ Each team should present, on December 11, 2023, an empirical paper on the performance of mutual
funds. Each team has up to 10 minutes to present the assignment. All team members should participate
in the presentation. The assignment should be written and presented in English.
‒ Until December 10, 2023, 14h, each team should go to Blackboard (in “Group Assignments/submission
of assignment”) and submit
1. A written report (pdf format). This document should not exceed 20 pages (excluding the cover
page, table of contents, and bibliography). The document should be written in English and with at
least 1.5 line spacing.
2. The file of the presentation (pdf format), which should not exceed 12 slides.
3. An excel file with all the data and calculations (including the time series collected and the time
series used as inputs in the regressions).

Objectives
Each team should evaluate a sample of actively managed mutual funds, using performance measures presented in
class (chapter 8 of the course program), namely alphas from single- and multi-factor models.

Access to data
This assignment will require students to collect data from Thomson Reuters Datastream. Students should therefore
fill the form https://forms.gle/Dq4z7ygkd9x5yf4p7 to request permission to access to this database.
NOTE: Datastream is available in remote access to the EEG’s server, as an excel add-in. It is very important that you
sign out of Datastream (in excel) before you finish your work, and that you log-off the server.

Content
The assignment involves:
• Identifying funds and choosing a sample of 10 open-end mutual funds [suggestion: choose US stock
funds investing domestically]. The mutual funds must have at least 5 years of historical data, ending
this year.
Suggestion to identify mutual funds:
‒ Yahoo Finance - https://finance.yahoo.com/screener/mutualfund/new
‒ https://www.morningstar.com/funds/screener-basic
‒ https://mutualfunds.com/equity-categories/
‒ Refinitiv Eikon

OBS: - Do not use different classes of the same fund

- Do not select index funds nor ETFs

Suggestions for types of mutual funds:

1. Value funds /growth funds
2. Small cap /large cap funds
3. Precious metals mutual funds
4. Technological mutual funds
 5. Health sector mutual funds
6. Energy funds
7. ESG funds /Green funds
8. …

• Collecting data (with monthly frequency).

‒ Collecting the end of month time series of mutual funds (return series - total return index – RI
datatype) from Datastream.
‒ Collecting the end of month time series of the benchmark (market index- total return index - RI
datatype) from Datastream
‒ Collecting the risk-free rate: Datastream or Federal Reserve (US risk-free rate)
https://www.federalreserve.gov/datadownload/Choose.aspx?rel=H15 or Professor Kenneth
French’s website
‒ Collecting other risk-factors
Professor Kenneth French’s website. Please note that FF factors are in %. Also, if you use FF
factors, you must compute all fund and benchmark returns in a discrete way.
• Estimating the performance evaluation measures.
• Interpreting the results.
• Writing the paper and preparing the presentation.

Suggested structure of the paper

Title page
Table of contents
1. Introduction
2. Methods
3. Data
4. Empirical results
5. Conclusions
References