please read the file attached. random ETFs are: BetaShares NASDAQ 100 ETF Ccy H, BetaShares Active Australian Hybrids ETF, BetaShares Geared Australian Equity ETF, Fidelity Global Emerging Markets ETF and Smartshares Europe.
Required:
1. You will be assigned a random list of five ETFs to analyse for this Major Assignment.
Please follow the instructions on Canvas carefully on how to generate this list. Describe
the key characteristics of each ETF. Explain their investment objectives and goals clearly.
2. Select (an) appropriate benchmark(s) to compare the performance of your five ETFs. In
your report, you should justify your choice of the(se) benchmark(s).
3. Calculate and compare the monthly returns for the five ETFs and the Russell 3000 market
index, as a proxy of the market portfolio, over the period from January 2018 until
December 2020.
4. Select an appropriate proxy for a risk-free asset. Justify your data choices.
5. Calculate the following risk-adjusted performance metrics:
a. Sharpe ratio
b. Treynor measure
c. Jensens alpha (using the Fama-French 3-factor model to calculate the expected return)
d. Information ratio
e. Morningstar risk-adjusted rating (using 2 as the coefficient of risk aversion)
6. Discuss how each ETF has performed based on these different risk-adjusted performance
metrics. Explain the conceptual differences across the metrics being utilised for
evaluation. Determine whether there is any evidence of market timing ability by the
portfolio managers of these five ETFs.
7. Determine the exposure of these five ETFs to style portfolios based on book-to-market
ratio, earnings-to-price ratio, and dividend yield. Describe the particular style(s) that is
driving the performance of your ETFs. Compare and discuss any differences between the
five ETFs.
8. Provide a final recommendation as to which ETF(s) you would advise an investor to
purchase. You will need to provide an explanation as to how you reached your
recommendation and any potential pitfalls of your recommendation.