January 31, 2018
In class we found the portfolio returns for FMAGX (Fidelity Magellan) using fund holdings data (and stock returns data) that I provided. In this exercise you will download holdings data from EDGAR and use it to calculate portfolio returns
1. Start by going to the SEC's website www.sec.gov
2. Click on \Company lings" under the search box on the top right hand side of the page
3. On the following page, search for \Company Name" of \FMR CORP". This is the parent company of FMAGX. The holdings report will contain the stocks held by ALL funds that Fidelity runs.
4. Click on the CIK for FMR LLC. This takes you to the page for all lings for FMR LLC. We only want the \13F" lings. You can restrict it to those by putting \13F" in \Filing Type" and clicking Search.
5. Find the fund holdings for 2005. There are multiple holding reports (di erent months). Open each of them1. Copy the columns into Excel (a separate le for each holding report). Give the columns appropriate names (no spaces in names: these will become variable names in R). Use \Text to Columns" to convert the data into multiple columns. Save each holding report as a separate \.csv" le.
6. Open R. Read each .csv le into R. Proceed to calculate the portfolio return as we have done. Calculate it for the following months: 31Mar-30Apr, 30Jun-31Jul, 30Sep-31Oct, 31Dec2005-31Jan2006. This is to allow us to compare the portfolio returns here with the returns for FMAGX we calculated in class. Use the latest holdings report at each date to get the holdings. For example, for the return from 31Mar-30Apr, use the latest holdings report on or before 31 Mar.
7. One problem you will encounter is that the stock identi er in the holdings data is \CUSIP". You will need to use the le \stocknames.csv" in 01 R data:zip in the \Class programs and data" folder on Blackboard. This contains the permno-CUSIP match on each date.
This is a long project. You should start as soon as possible. If you have problems, please come and talk to me well in advance of the due date. Send me an email and we can arrange a time that's convenient for both of us. I am in Queens Monday and Thursday mornings, so if you want to meet there I can do that too, in the early afternoons.
