BRN 481 Case #3: due 6/5/2017


The course web page has an Excel spreadsheet file (in ZIP format) BRN481Case317.ZIP that contains 238 monthly stock returns (in US dollars) for six Swiss funds:

Formulafirst S:FFI
Castle Alternative Investment R S:CASN
New Venturetec 'B' S:NEV
Castle Private Equity S:CPE
Alpine Select 'R' S:ALPN
Private Equity 'R' S:PEHN

from June 1997 through March 2017. The file also contains the Fama-French three factors based on European stocks, Mkt-Rf, SMB, HML, and Rf, also measured in US dollars.

Your assignment is to evaluate all six of these funds. Comment on the extent to which each fund shows either stock selectivity ability, or market timing ability, or both. Also, comment on the apparent “styles” of each fund (in terms of the Fama-French risk loadings). You should not write more than one double-spaced page (about 220 words) on each fund.


A full-text version of this case assignment is available in Acrobat's portable data format (.pdf). The file is about 28K and can only be viewed (and printed) using a copy of Acrobat Reader. Click here to download this case assignment.


Click here to view a possible answer to this case.

Click here to download the Excel worksheet with the answer.


Click here to see the histogram showing the grades for this case.

A histogram showing the grades for this case is available in Acrobat's portable data format (.pdf). The file is about 4K and can only be viewed (and printed) using a copy of Acrobat Reader.

Click here to download this graph.


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Last Updated on 5/28/2017