Mgtf402 – Investment Analysis
Autor: Eric Han • October 27, 2015 • Research Paper • 839 Words (4 Pages) • 993 Views
Midterm Exam, October 26, 2015
MgtF402 – Investment Analysis
Instructions: This is an open book exam. You have 2 hours to complete your answers. The weight on each question (out of 100) is listed next to the question.
- The table below shows the (rounded) 2014 portfolio weights and returns for the Harvard Management Company (HMC) along with returns on a simple benchmark.
Asset | Benchmark weights | Benchmark returns | HMC Actual weights | HMC Actual returns |
Equity | 40% | 21% | 49% | 20% |
Real assets | 20% | 10% | 25% | 11% |
Absolute returns | 20% | 7% | 15% | 12% |
Fixed Income | 20% | 4% | 11% | 8% |
- Compute the HMC’s total (actual) portfolio return and its returns from security selection and market timing relative to the benchmark. (10 points)
Total portfolio return:
Return from security selection:
Return from market timing:
- Explain if the HMC under or out-performed the benchmark and describe the sources of any superior/inferior performance. (8 points)
- Using finance theory, explain why HMC puts a high weight on real assets (property, real estate, natural resources). (8 points)
2. The excel file Asia_momentum.xlsx in the Midterm folder on TED provides monthly returns on portfolios of Asia-Pacific ex Japan stocks sorted by company size and return momentum. Column A lists the date (month) while columns B and C show returns on portfolios of large loser and winner stocks. The market excess return (Mkt-Rf) is listed in column D while SMB, HML and WML in columns E, F and G show returns on the size, book-to-market and momentum risk factors for Asian stocks. Column H lists the risk-free rate and column I shows the Asian market return. Returns are in fractions per month (0.05 means 5%) and cover the period 1990:11 – 2015:08.
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