|Fund Name||Ticker||Sample Size|
|TIAA-CREF Social Choice Equity Fund||TICRX||157|
|Portfolio 21 Global Equity Fund Class R||PORTX||236|
|iShares MSCI ACWI Low Carbon Target ETF||CRBN||53|
|SPDR SSGA Gender Diversity Index ETF||SHE||38|
|iShares MSCI KLD 400 Social ETF||DSI||150|
|iShares MSCI USA ESG Select ETF||SUSA||172|
The spreadsheet also includes the Fama-French 5-factors from November 1999 through April 2019, Mkt-Rf, SMB, HML, RMW, CMA, and Rf.
Your assignment is to evaluate all seven 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.
Click here to download the Excel worksheet with the answer.
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.