Identify 12 (or more if you want the project to be more realistic) publicly-traded firms with which you are familiar. Obtain the monthly prices for these firms and compute the following risk and performance measures for each of those firms.

• Mean monthly arithmetic return
• Mean monthly geometric return
• Standard deviation of return
• Beta relative to the market
• Idiosyncratic volatility using CAPM
• Sharpe ratio
• Jensen's alpha (same as CAPM alpha)
• Betas relative to all the factors in the four-factor model
• Four-factor alpha

Next, using your risk and performance measures, develop a trading strategy, i.e., use past data to rank firms such that higher-ranked firms are likely to perform well in the future while lower-ranked firms would perform poorly. Create a zero-cost portfolio in which you hold a Long position in firms in the top one third and a Short position in the firms in the bottom third. Compute all the risk and performance measures for this new portfolio.

The data can be obtained from:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

https://finance.yahoo.com/