Create a portfolio
GUIDELINES FOR THE REPORT - The assignment should demonstrate your understanding of the multitactor model and apply them to solve practical problems. - Your tinal document will have three compenents, each one with its osn scare. - Use equal weights on each sock to construct a portlolio and repon the tesun ard variance of your ponttolio as wel as its correlations with Fama-French factors. In addition, you are required to dibide your sample daca into two subsample periods and re-ds the above calculation for each subsample period. - Estimate your muls-factor model using Fama-french 3 tactors provided and discuss the rolos played by each risk factors for the whiole sample at woll as for the subsanples. - A briet non-techrical explanation of the philosopty behind how to construct your pontolo and the conclusion you can draw from the muti-tactors model. Tir. - The report should be no less than 3000 words, including as summary, discusslon on each components, tables and graphs, but excluding references and appendices of compuler codes. You can include one page of relerences and up to 3 pages of appendices. - The report will be marked on both its contert (discussionsianalyses arguments) and the quality of its whe-up (orgevization, conciseness, clarily, grammar and punctuation). When the intormation reported in a table can be easily and more effectively preserted in a graphical form, a graph representing the relevant intormafon should accompany the lable. - You should discuss the relevance and the signticance of the information provided in lables and graphs included in the report. You should not include redundart infomation in tables. In order to reselve high marks og the report, the report showld clsarly deseribe the article using the theories and concepts discussed in class - The repert will be marked out of a botal of 50 marks. The following is a summary of the areas you needs to work on. Please note that it is not comprehensive bu in gives you a sense of what is expected in your submission. I. Report requirements The writien repor should have the lollowing soctions: Compary profile: industry, sales, profitability, major events, efc (5 marks) Feturn, volatily, and aurocorrelation (10 marks) Empirical analysis on systematic risks in Fama-French 3 lactor model (20 marks) Discuseion on your investment style based on your portiolio and evaluation of the portfolio toom the perspective of mulilactar model. (10 marks) There are 5 marks for witing clacity and coherence. Explanations are equally or more important than calculations. The report should have a maximum of 20 pages with 1.5-ine space and 12 size lort. The page limit excludes the cover page and relerences. Any materiais beyond the page limil will not be considered. Students are encouraged to find and chle relevant lierature. In addition to the writen repor. each group should submi an excel tle with clearly labeled worksheets corresponding to the sequined analyses. The eucel file is used to verity the reported analysis
