How to test the performance of the final portfolio

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Reference no: EM133293260

Question: The aim of this project is to come up with a model/algorithm to produce predictions on T1_RETURN using the available information. You are expected to use said predictions to form a portfolio that will then be evaluated according to Information Ratio. Just to get you started, we are sharing an R Script on how to test the performance of the final portfolio.

Although R is preferred, you can use the programming language that you are most comfortable with. Please use some machine learning or econometric modeling techniques and create as many models as you like! As an output, you are asked to provide:

- A short report on what you have done together with some results and conclusions, including a performance comparison among the models you propose, using Information Ratio as a metric.

- The source code used for producing your analysis and results.

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This task provides a clear working example of multiple linear regression equations.The outcome variable was transformed into a square transformation and the multiple regression model was performed.The coefficient of determination was used to determine the accuracy of the regression model.The overall model fit was validated using the F test for overall significance.The t test for significance of slope was used to test whether the independent variable is a significant predictor of outcome variables.

Reference no: EM133293260

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