accounting report
On the 7th of July 2019 a wealthy investor is considering investing in one of three investment
trusts, with the intention of getting the best return over the following 12 months (up to July
2020).
The specific trusts in this study are JPMORGAN AMERICAN IT., WITAN INV.TRUST and MONKS
INV.TRUST and all are listed on the London Stock Exchange. The market is represented by the
FTSE All Share index.
The investor collects daily price data on these three investment trusts, going back to July 2014
and then conducts a performance analysis based on the Sharpe and Treynor ratios, and
Jensens alpha.
On the basis of the results the investor decides to buy shares in the top-performing
investment trust and ignores the other two.
Aim
Write a report which explains (a) the three trusts, (b) the three metrics, (c) the historic
performance up to (and including) 6th July 2019, and (d) the returns for the top-performing
trust over the remaining days up to (and including) 11th July 2020.
Structure
I. Executive Summary (approx. ? page overview of the report) (5%)
II. Overview of the trusts (descriptions of the trusts not analysis) (10%)
III. Description of the three metrics (Sharpe, Treynor, Jensen) (10%)
IV. Historic trust performance 2014-19: Apply the three metrics to the historic data for
2014-19, present the results in appropriate tables (graphs are a nice option but not
essential) and discuss your findings. (40%)
V. Analysis of actual returns 2019-20: Is the best fund during 2014-19 the best for 2019-
20? (30%)
VI. Conclusion (5%)
Assumptions
i. The FTSE All Share index (FTSEALLSHARE) is our proxy for the market
ii. The annual risk-free rate is 1% (giving a daily risk free rate of approx. 0.00274%)
across the whole test period. (Remember that this needs to be in decimal format
(0.0000274) if you calculated your fund returns as decimals, i.e. [(Pt ? Pt ? 1 )/Pt ? 1]
Format
i. Word count: 1200 words (+/- 200 words) excluding executive summary, Tables,
appendices, and references.
ii. Font size: 11 or 12
iii. References: any recognised format (see academic articles)
iv. Line spacing: 1.5
Assessment weighting
This project is worth 20% of the module mark.
To run regressions in Excel
1. Activate ToolPack
a. File ? Options ? Add-Ins ? select Analysis ToolPak and choose Excel Add-ins
from ?Manage menu ? click ?OK.
b. If this is successful, when you click on Data from the top menu you should be
able to see ?Data Analysis button in top right-hand corner.
2. Doing the regression analysis
a. Data ?> Data Analysis ?> Regression then OK ? Input Y Range (select cells
with the Y variable, i.e. dependent variable) ? Input X Range (select cells with
the X variable, i.e. independent variable) ? then OK
3. Descriptive Statistics
a. Data ?> Data Analysis ?> Descriptive Statistics
b. These can give you: mean, max, min, standard deviation
Requirements: 3day