Project Steps:

Step $1$: Data Collection

Collect historical monthly or quarterly return data for an investment

portfolio. You can use publicly available data or simulate a portfolio with

historical prices.

Step $2$: Return Calculation

Calculate the following return measures for the portfolio:

$1.$ Time$-$Weighted Return: Use the formula for time$-$weighted return to

calculate the return for the entire investment period.

$2.$ Geometric Mean Return: Use the geometric mean formula to

calculate the average annualized return for the portfolio.

$3.$ Standard Deviation: Calculate the standard deviation of portfolio

returns to measure risk.

$4.$ Treynor Ratio: Calculate the Treynor ratio, using a risk$-$free rate $($e$.$g$.,$

U$.$S$.$ Treasury yield$)$ as the risk$-$free rate of return. The Treynor ratio

assesses risk$-$adjusted returns relative to systematic risk $($beta$).$

$5.$ Sharpe Ratio: Calculate the Sharpe ratio, which also assesses risk$-$

adjusted returns but uses standard deviation as the risk measure.

Step $3$: Data Presentation

Create a simple Excel spreadsheet to input your data and calculate the

return measures. You can use Excel functions for calculations.

Step $4$: Interpretation and Analysis

Write a brief analysis of your findings:

$$ Interpret the calculated time$-$weighted return, geometric mean,

standard deviation, Treynor ratio, and Sharpe ratio.

$$ Explain what each return measure signifies and why it's important for

assessing portfolio performance.

$$ Compare and contrast the Treynor ratio and Sharpe ratio, highlighting

their respective strengths and weaknesses.

Step $5$: Conclusion and Recommendations

Summarize your analysis and provide recommendations based on the return

measures:

$$ Discuss whether the portfolio has met its investment objectives.

$$ Offer insights into how the portfolio's performance might be improved.

$$ Provide a final recommendation $($e$.$g$.,$ Hold, Buy, Sell$)$ for the portfolio

based on your analysis.

Project Submission:

Submit a report that includes your spreadsheet with calculations, analysis,

and recommendations.