make sure that you don’t get out of this course without knowing how to estimate fund performance based on return-based models (RBM) and holdings-based models (HBM);
finance
Description
Overview: The aim of the assignment in Funds Management (25936) is to:
a. make sure that you don’t get out of this course without knowing how to estimate fund performance based on return-based models (RBM) and holdings-based models (HBM);
b. make sure that you are comfortable downloading and organising the basic data from:
(a) CRSP Mutual Funds Survivorship Bias Free Database (MFDB),
(b) CRSP Security Prices and (c) Compustat;
c. get you looking at real data before you actually have to produce a paper if you would like to investigate empirically your research proposal in Funds Management;
d. lower the bar to doing empirical work by giving you a starter series of Python codes that
can be modified, augmented, and expanded in the future to suit your needs.
The assignment will consequently require a bit of coding and data analysis, but will provide
you with very valuable training on how to use the most advanced and up-to-date methods of
estimating fund performance.
