Financial Econometrics

This empirical exercise is based on the work by Assess, Moskowitz and Ped-

ersen (2013). Please refer to the attached "[url removed, login to view]"

First, construct tradable portfolios from the given dataset. Second, Trading strategies

Calculate the return series of the following equally weighted trading strate-

gies, rebalanced every month:

 Momentum strategy.

 Value strategy.

 Combo strategy.

 Intersection strategy. The intersection strategy goes long portfolio A

and shorts portfolio B.

For any trading strategy, report summary statistics, Sharpe ratios, t-ratios,

maximum drawdowns, a plot of the cumulative returns over time, portfolio

turnover and the average number of stocks within any portfolio.

Comment on the di erent performances and risk-return pro les of the

strategies, on the bene ts of combining value and momentum and on the

di erence between the combo and the intersection strategy. Third, Run regressions of each strategy's returns on the three Fama-French factors

plus momentum and comment on the sign, size and the signi cance of the

estimated alphas and betas.

Habilidades: Excel, Matlab and Mathematica

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