Reference no: EM133118690

Part One

1. Construct an equally weighted portfolio of six mutual funds. Prepare a table showing the arithmetic mean return, geometric mean return, and standard deviation of return for the six-fund portfolio over the 10 years.
2. Using a spreadsheet package, prepare a graph showing the ten-year performance of each of your six funds and the six-fund portfolio. This chart should show the dollar value of an initial $1,000 investment over the ten year period.
3. Using the ten-year performance statistics of your six funds and the six-fund portfolio, determine and show graphically the efficient set using the Mean-variance efficiency method. This is merely a standard deviation/expected return plot showing six points-one for each fund and one for the six-fund portfolio. Identify the point that shows the best return per unit of risk.

Part Two

Define, compare and contrast the following measures and use them to rank the performance of the six funds and the six-fund portfolio:

1. The Sharpe measure
2. The Treynor measure
3. The geometric mean return
4. Coefficient of Variation