Download 20-years of Monthly price History for three Distinct US Mutual funds from Finance yahoo.com: Investment and Portfolio Management Assignment, OU, Singapore

Section A

Download 20-years of monthly price history for three distinct US mutual funds from finance.yahoo.com (use the Historical Data tab). Select mutual funds with a 20-year price history or longer. For example, you could use three mutual funds with different sector exposure, or you could use a broad-based stock mutual fund, a long-term corporate bond mutual fund and a money market mutual fund.  Create a time series of monthly returns from this time series of monthly prices. Calculate the annualised mean return, standard deviation, and correlation of the funds.

1. Calculate the weights on the minimum variance portfolio (MVP) consisting of the three mutual funds. You will need to use Excel here and the functions required will be discussed in the pre-recorded and live sessions.
2. Calculate the weights on another efficient portfolio whose expected return is set equal to the maximum of the three mutual funds expected returns.
3. Calculate the annualised expected return and standard deviation of the minimum variance portfolio and the second optimal portfolio from Section A: part 3.
4. Sweep out the efficient frontier weights by forming combination weights with alpha invested in the higher expected return optimal portfolio from part 3 and (1-alpha) invested in the MVP, where alpha is varied according to trial and error to result in approximately 10 efficient portfolios between the MVP and the second efficient portfolio which should result in a nice plot of the efficient frontier. Calculate the expected returns and standard deviations of these efficient portfolios.  Plot the three funds, the minimum variance portfolio and the second efficient portfolio on a diagram along with the efficient frontier consisting of efficient portfolios made up of these three assets. Clearly label the axes on the graph and include a graph caption.
5. Write a 1500-word report on section A of the assignment. Include in your report an introduction, a method section, a results section, and conclusions.  Discuss in your report diversification referring to the expected return and standard deviation of the minimum-variance portfolio in your answer.
6. Also, discuss in your report the possible overestimation of the benefits of diversification since in the real world the parameters needed for portfolio optimisation can only be estimated using historical data. Hence, these parameters are often estimated with a large amount of error. In this section, please refer to a small number of academic journal articles or papers in the literature on this issue.

Section B

1. Download  20 years of data on the Fama-French three factors plus the risk-free rate that corresponds to the same dates as your mutual fund returns. Download this data from Kenneth French’s data library:
2. Using Data\Data Analysis\Regression in Excel run a CAPM regression to determine the alpha and the beta of each mutual fund. You will need to use Excel here and the functions required will be discussed in the pre-recorded and live sessions.
3. Using the Regression function in Excel run a Fama-Fama regression to determine the alpha and the three betas for each mutual fund where the additional two factors of Small Minus Big and High Minus Low are included along with the market risk premium.
4. Calculate other performance measures for each mutual fund such as the Sharpe ratio and any other risk or return measure you deem relevant.
5. Write a 1000-word report on section B of the assignment. Include in your report an introduction, a method section, a results section, and conclusions.