Use Berry Cox's Momentum Factors to Select Basket of Assets - Accounting & Finance Assignment Help

Assignment Task

Primary Objective: Use Berry Cox's momentum factors to select basket of assets for a long-short portfolio. Backtest from Jan 2016 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 3: Using the momentum factors, calculate the monthly z-factor score for each asset

Step 4: Identift long and short baskets (10 to 15 assets in each) using calculated z-factors

Step 5: Create a backtest to validate performance of your algorithm based on monthly restructuring since Jan 2016 

Parting Thoughts: Remember, we'll work through all the Python and finance steps you need to understand to be able to calculate alpha factors. That being said, I'm not going to just give you everything — you'll be responsible for determining the actual function for each factor and whether it's a positive or negative factor. 
Berry Cox's Alpha Generators are on the next page. I recommend beginning on this project sooner rather than later so you have time to experiment and research how to calculate the specific factors correctly as well as build your backtest.
 

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