Implementing risk and drawdown control

Assignment Help Other Subject

Reference no: EM132412541 , Length: word count:750

Assignment -

Should you decide to complete this group project, the group size will be limited to 5. You need to turn in a report describing and back testing a strategy. Your group will receive bonus points for using US data, and for implementing risk/drawdown control. Given the current circumstance, the presentation is cancelled. Your grade will be based on quality of the report.

You are free to choose any strategy. This year, I ask that your strategy trades at least 20 different stocks, or spans at least 3 different asset classes (e.g. stock, bond, derivatives, currency, crypto-currency).

In the past classes, I have seen very good projects with value strategy (i.e. high BE/ME minus low) and investment strategy (i.e. low asset growth minus high). Since I'm using cross sectional momentum as "easy" project, your strategy can't be cross sectional momentum. However, you can mix it with other strategy such as 1/2 value + 1/2 momentum. In addition, you are allowed to use time series momentum strategy which is arguably the easiest strategy for the group project.

My general suggestion for writing your report is to always keep your reader in mind when writing. A good report draws the attention of the reader, and prepares an answer for each potential question. For example, you can start with a motivation for your strategy, i.e. why do you consider this particular trading signal in the first place. Then you describe your strategy thoroughly enough to allow your reader to replicate your strategy by himself/herself. When reporting the performance of the strategy, try to create graphs in addition to the tables, e.g. a graph of its cumulative return together with that of the stock index, or a graph of drawdown. Graphs help your reader remember your work. It is also a good idea to add some robustness analysis, e.g. how does the performance change when you adjust the parameters such as # of stocks in each portfolio. Finally, it is helpful if you can compare your results with the existing work in the finance academic literature.

Instructions: Need 750 words.

Reference no: EM132412541

Questions Cloud

Write about where the location possibilities are and why : If they have not announced where it will be located yet, then write about where the location possibilities are and why. Need 250 words

What are the unique properties of human language : Human language is more than a communication system. What are the unique properties of human language that make it different from communication systems used.

Review an organization for which you currently work : Instructions - For this assignment you will either review an organization for which you currently work, or find a case study to review

Review the psychoanalytic case conceptualization : Review the Psychoanalytic Case Conceptualization Example found in this week's Learning Resources and use this document to prepare your initial Discussion post.

Implementing risk and drawdown control : Complete this group project - Your group will receive bonus points for using US data, and for implementing risk/drawdown control

Discussion about the psychology of persuasion : It has been over thirty years since the Jonestown tragedy. You can read about it by clicking on the following link and read the brief article entitled.

Derivatives and Risk Management Assignment : Derivatives and Risk Management Assignment - Find the range of stock price on T that results in a positive profit for the investor

Discuss controversial issues concerning workplace rights : Briefly discuss at least two controversial issues concerning workplace rights (other than monitoring e-mail). Provide real-life examples to illustrate.

Summary of your fraud policy : Presentation: Your presentation will be a summary of your fraud policy, which you completed in Module Seven as your final project

User Account

All Pages