The writer is very fast, professional and responded to the review request fast also. Thank you.
For this activity
:
Identify 12 (or more if you want the project to be more realistic) publicly traded firms with whichyou are familiar. Obtain the monthly prices for these firms and compute the following risk and performance measures for each of those firms.
1. Mean monthly arithmetic return
2. Mean monthly geometric return
3. Standard deviation of return
4. Beta relative to the market
5. Idiosyncratic volatility using CAPM
6. Sharpe ratio
7. Jensen’s alpha (same as CAPM alpha)
8. Betas relative to all the factors in the four-factor model
9. Four – factor alpha
Next, using your risk and performance measures, develop a trading strategy, i.e.,use past data to rank firms such that higher- ranked firms are likely to perform well in the future while lower – ranked firms would perform poorly. Create a zero- cost portfolio in which you hold a Long position in firms in the top one third and a Short
position in the firms in the bottom third. Compute all the risk and performance measures for this new portfolio.
The data for the project can be obtained from:
Yahoo! Finance: http://finance.yahoo.com
or
Ken French’s data website available at
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
To complete this Assignment
:
Write a short report (in a Word document, not more than 5 pages, double-spaced) that contains the following:
Exhibit 1:
Portfolio that includes all the risk and performance measures for all firms (i.e, a tablein which the rows are the various firms and the columns are the various risk and performance measures. This exhibit will be embedded in your Word document and at the end of your report.)
Exhibit 2: Annual Returns that includes the risk and performance measures of your new portfolio (i.e., the trading strategy) and a plot showing the annual returns (i.e., a table showing the risk and performance measures and a plot chart showing the annual returns. This exhibit will be embedded in your Word document and at the end of your report.)
A brief description of all the calculations used
A brief discussion of any interesting observations from the results of youranalysis
Delivering a high-quality product at a reasonable price is not enough anymore.
That’s why we have developed 5 beneficial guarantees that will make your experience with our service enjoyable, easy, and safe.
You have to be 100% sure of the quality of your product to give a money-back guarantee. This describes us perfectly. Make sure that this guarantee is totally transparent.
Read moreEach paper is composed from scratch, according to your instructions. It is then checked by our plagiarism-detection software. There is no gap where plagiarism could squeeze in.
Read moreThanks to our free revisions, there is no way for you to be unsatisfied. We will work on your paper until you are completely happy with the result.
Read moreYour email is safe, as we store it according to international data protection rules. Your bank details are secure, as we use only reliable payment systems.
Read moreBy sending us your money, you buy the service we provide. Check out our terms and conditions if you prefer business talks to be laid out in official language.
Read more