question archive For questions 2 and 3, you need to report the calculated portfolio weights and betas, not simply qualitative descriptions
For questions 2 and 3, you need to report the calculated portfolio weights and betas, not simply qualitative descriptions
Subject:EconomicsPrice: Bought3
For questions 2 and 3, you need to report the calculated portfolio weights and betas, not simply qualitative descriptions.
2. (50 points) Why do you propose the strategy? Evaluate the historical performance of the strategy using market data for at least one year. Explain what data set you use for the test and how you design the experiment. Explain the performance of the strategy quantitatively by including the statistics such as annual rate of return, volatility, etc. For better visualization, you are suggested to provide the return curve graphically.
3. (20 points) What are the major risks associated with the strategy? Based on the historical performance in part 2, analyze the possible risks of the strategy.
