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Financial Econometrics (matlab coded provided)

According to the tradable portfolios from the given datase provided (full matlab code is provided), answer the following questions with reference to Asness, C.S., T.J. Moskowitz and L.H. Pedersen (2013). Value and Mo-

mentum Everywhere. Journal of Finance, LXVIII, 929-985. (see attachment)

(60 %)

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.

(40%)

Risk attribution

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: Matlab and Mathematica, Elaboração de relatórios

Ver mais: writing ratios, writing portfolios, portfolio statistics, on the intersection, intersection and, financial plus, factors of every number, calculate factors of a number, answer financial, a intersection b, cance, writing matlab, trading strategy, statistics matlab, matlab statistics, finance risk, finance matlab, econometrics questions, financial risk, financial portfolio, writing code trading, matlab portfolio, writing time series, matlab financial risk, risk financial

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