From the course: Excel for Investment Professionals

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Evaluating hedge funds and mutual funds with portfolio attribution

Evaluating hedge funds and mutual funds with portfolio attribution - Microsoft Excel Tutorial

From the course: Excel for Investment Professionals

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Evaluating hedge funds and mutual funds with portfolio attribution

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- [Instructor] More advanced portfolio analysis should take into account factor models like the Fama and French model. To do that in Excel, you need to be able to run regressions on a portfolio. Let me show you how this is done. I'm in the 04_04_Begin Excel file. Now what we've got here are returns on a monthly basis for two different hedge funds and two different mutual funds. We've also got what are known as factors: the size factor, the value factor, the risk free rate, and the VIX. We've also got our friend beta which is labeled here just market minus risk free. Now, what we want to understand is how much of the returns for a hedge fund or a mutual fund are driven by exposure to one of these factors. In other words, is that hedge fund really picking good stocks or are they just loading up on high beta stocks? Are they just loading up on stocks that score well on the size, SMV, and the value, HML, factors? How can we do this type of portfolio attribution analysis as it's called?…

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