Financial Econometrics 4

Question Description

We do a comprehensive portfolio analysis in this project. First, form different portfolios of financialassets from different time periods such as recession and bull market based on criteria created by yourself.Download the data from yahoo finance accordingly. Evaluate and compare the performance ofthose portfolios using CAPM models. Second, propose your own trading strategies such as technicalanalysis or fundamental analysis and the timing to buy and sell. Compare cumulative returns of differentstrategies. Give a detailed discussion of your portfolios and strategies. Keep some observationsas holdout sample to examine the out of sample performance of your strategies. Do as best as youcan. Write a comprehensive report following the style of the sample reports. Also, submit your codes.Work on the project independently. The report is expected to have around 7 pages.

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