Advanced Quantitative Finance - Accounting and Finance Assignment Help

Assignment Task

Primary Objective: Use Berry Cox’s momentum factors to select basket of assets for a long-short portfolio. Backtest for 5+ years to check for performance of code.

Background: The use of computers and coding allows finance professionals to identify new alpha factors - Alpha factors are ways of quantifying where alpha is being generated by an asset. You will be responsible for using Berry Cox’s list of alpha factors to determine the buy/short picks for your portfolio. But in order to test your code and its asset selections, back-testing must be performed.

The Requirements:

Step 1: Choose an ETF with a minimum of 100 assets, identify those assets

Step 2: Retrieve historical data for the past 5 years of your chosen ETF

Step 4: Using the momentum factors, calculate the monthly z-factor score for each asset

Step 5: Identify long and short baskets (10 to 15 assets in each) using calculated z-factors

Step 6: Create a backtest to validate performance of your algorithm based on monthly restructuring since Jan 2016

Extra Credit: Calculate the optimized weighting of the monthly restructuring and include in backtesting of algorithm. Make sure the weighting is performed each month when the portfolio is restructured.

Parting Thoughts: Remember, we’ll work through all the Python and finance steps you need to understand to be able to calculate alpha factors.

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