FAME EXECUTIVE COURSES IN FINANCE

Performance Evaluation and Attribution (PEVA)

Theory and Practical Application

Laboratory Exercise Solutions

Updated: December 19, 2005

Professor Russ Wermers                                                                                             

Copyright 2006 R. Wermers                                                                                                                            

Lab Exercise #1, Part A:  Computing and Comparing Basic Performance Measures

     Solutions:

        A. “Lab 1 Solutions Summary.doc”

        B. “Lab 1 Solutions Worksheet.xls”

Lab Exercise #1, Part B:  Computing and Comparing Bond Fund Styles, and Measuring the Performance of Bond Funds

     Solutions:

        A. "Lab 1B Solution.pdf"

        B. "Lab 1B Solutions.xls"

Lab Exercise #1, Part C:  Conditional Performance Evaluation

     Solutions:

        A. "Lab 1C Solutions.xls"

Lab Exercise #2:  Dimensional Fund Advisors - An Exercise in Performance Decomposition

     Solutions:

        A. "lab2_solutions_summary2new.doc"

        B. "Solutions lab2.xls"    

Lab Exercise #3:  Bootstrapping the Cross-Section of Manager Alphas

     Solutions:

        A. (No Solutions Available)

Lab Exercise #4:  Maximizing Fund-of-Fund Alphas Using the Bootstrap with Value-at-Risk Constraints

     Solutions:

        A. (No Solutions Available)