Reference no: EM133271832
Portfolio Management - Portfolio Project
Introduction
The goal of the Portfolio Project is to become familiar with the practical aspects of professional investments and portfolio optimization. You are required to apply the knowledge acquired inside and outside the classroom to:
• develop a systematic trading strategy and construct a portfolio to implement it;
• backtest your trading strategy;
• execute your trading strategy on professional simulated trading platform (provided by Inter- active Brokers);
• monitor your portfolio after the execution.
Orgamization, Output and Delivery
You are required to deliver the following outputs:
• a professional presentation of your trading strategy and backtesting results according to the schedule that will be communicated on Moodle.
• a written report to be delivered in pdf format
Guidelines for the Presentation
• Timing. The presentation duration will be communicated as soon as all groups are formed. There will be no interruptions during the presentation.
• Individual Contribution. All group members are supposed to present.
• Feedback. The presentation will be followed by a session in which the presenters collect feedback and questions from other students and from the professor. This feedback must be incorporated in the written report.
• Audience. All students are supposed to attend other groups‘ presentations. The feedback provided will count towards class participation (as well as dropping questions in the chat).
• Content. Although there is no strict format to follow, the presentation must touch on the following aspects:
- description and motivation of the trading idea¡
- description of the data sources and of the data collection process¡
- description of the portfolio optimization problem (e.g. VaR constraints, concentration constraints)¡
- description of the tools and software used (any programming language is accepted)¡
- results and performance of the backtesting (e.g. figures, performance indicators)¡
- strengths and weaknesses of the trading strategy¡
- plans for the actual execution of trades and portfolio monitoring strategy (e.g. types of orders, rebalancing)
• Evaluation. The presentation will be evaluated based on the organization, clarity, professionalism, critical interpretation of the results and answers to questions from the audience. The originality of the strategy and the execution of the backtesting will not contribute to the presentation grade, but will be evaluated after the report is sought to give students the opportunity to incorporate the feedback received.
Guidelines for the Report and zipped File
• Length. The report must be synthetic (e.g. no long appendices with computer codes) and self-contained. There is no strict page limit, but no novels are required.
• zipped File. All replication materials should be provided in the zipped file along with a readme file described above.
• Content. The report covers the same contents of the presentation plus the execution of your trading strategy and portfolio monitoring. The report must incorporate the feedback obtained after the presentation. Although there is no strict format to follow, the report must include the following aspects:
- description and motivation of the trading idea¡
- description of the data sources and of the data collection process¡
- description of the portfolio optimization problem (e.g. VaR constraints, concentration constraints)¡
- description of the tools and software used (any programming language is accepted)¡
- results and performance of the backtesting (e.g. figures, performance indicators)¡
- execution of trades (e.g. screenshots and diagnostics from Interactive Brokers)¡
- portfolio monitoring strategy and adjustments (e.g. types of orders, rebalancing)¡
- strengths and weaknesses of the trading strategy¡
- appendix with a description on how the report addressed the feedback obtained during the presentation.
• Evaluation. The following aspects will contribute to your grade:
- organization and clarity of the report;
- originality and/or performance of the trading strategy¡
- quality of the backtesting;
- quality of the portfolio formation process;
- feasibility of the implementation;
- user-friendliness of the zipped file to replicate the analysis;
- critical evaluation of the results;
- discussion of the execution of trades and the portfolio monitoring strategy;
- professionalism in incorporating the feedback obtained during the presentation.
The Four Components of the Project
This section provides some guidelines and suggestions for useful resources for the four key parts of the project, i.e.:
• develop a systematic trading strategy and construct a portfolio to implement it¡
• backtest your trading strategy¡
• execute your trading strategy on a professional simulated (paper trading) platform (provided by Interactive Brokers)¡
• monitor your portfolio after the execution.
Attachment:- Portfolio Management.rar