Zeus Management Case Who are Zeus’s investors and what are the particular issues…


Based on the Zeus Asset Management Case
  1. Who are Zeus’s investors and what are the feature issues that Zeus is confrontment as of existing 1998?
  1. Describe the running bombardment order at Zeus. What are its advantages? What are its possible disadvantages?
  1. Using the postulates granted in the Zeus_Data.xls rasp, estimate and examine the subjoined achievement values for all lewd Zeus investments.
  1. Total Restore not-absolute to divert index
  2. Jensen’s alpha
  3. Gruber’s alpha
  4. Fama-French alpha
  5. Sharpe Ratio
  6. Treynor value (and associated T^2 value)
  7. M2 Measure

Discuss which values are past divert for each investment. Based on such examineion and on the adapted values, assess the not-absolute achievement of the Zeus investments for the era 1992-1997.
  1. Do any of the Zeus investments vault timing ability? Examine by using the Gurbers type and turgid that the investments era the relative dispense (investment dispense for the equity investment, fetter dispense for the fetter investment, etc.) by prospect the line and not the concretion of intemperance profits.

Style Analysis:
a) Go to Yahoo Finance (http://finance.yahoo.com/funds) and download monthly postulates for the subjoined common investments for the eras indicated under.
- Fidelity Magellan Investment (ticker sort FMAGX), era 10/1986 -4/2007
- Janus Investment (ticker sort JANSX), era 8/1989-4/2007
Also, download from Yahoo Finance postulates for the S&P500 index
NOTE: Remember that the dating convocation Yahoo/Finance adopts is truly confusing, chiefly for monthly postulates. When you download monthly postulates, the resulting CSV rasp contains origin of the month epochs (e.g., for FMAGX, the primary epoch achieve be 10/1/1986). BUT they truly point to end-of–the month epochs! So, for illustration, the primary charge for FMAGX is the charge as of 10/31/1986
Then, using the Russell benchmark indices granted in the rasp Russell_Data.xls, (the rasp also contains 3-month annualized US T-Bill yields that can be used as commissioner for the risk-free blame) discharge name separation for the two investments for the full era. How fur of each investment profits is explained by Name Allocation? How fur by Security Selection amid names?
b) The uniformly celebrated Magellan Investment is believed to accept newfangled its name in the mid to past 1990s. By splitting the case 1986-2007 era into a 1986-1996 and a 1997-2007 sub-periods, demonstrate the assertion using the results of your name separation. How would you narrate the estrangements in names aggravate era, if any?
c) Perform a alike sub-era separation for the Janus Investment using the 1989-2000 and 2001-2007 sub-periods. Do you remark great changes in name?
d) For each of the two investments and for each sub-era over estimate the estrangement in profits between i) the investment and the S&P500 and ii) the investment and the name benchmark, i.e., a negative mix after a while the selfselfsame name. The perishing estrangement is public in the toil as selection restore. The decisive weights on the negative mix are absorbed by the name weights (i.e., the firm return coefficients estimated from name separation). Which similarity (i. or ii.) is past divert? What conclusions do you sketch for the Magellan Investment and for the Janus Investment from these achievement similaritys?
Chapters Problems Pages Points
Ch 4 9
22
114
115
5
12
Ch 24 4
5
6
859 12
Ch 27 3
4
951 5
5
Total points 39

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