MAKE SURE ALL WORK ON EXCEL
REPORT MUST BE DOUBLE SPACED, NO MORE THAN 15 PAGES but we did a couple pages of work already
REPORT MUST INCLUDE TRADES JUSTIFICATIONS (pdf attached)
CALCULATE EQUATIONS PASED ON EXCEL SHEET GIVEN (RECORD OF STOCKS GIVEN)
Each purchase/sale should be justified on the basis of current market conditions and
finance principles. The P&L of your portfolio are calculated on a weekly basis.
Each group will write a report and do a presentation in class. Your report must explain the rationale of your
trading, report the weekly profit and loss of your portfolio and provide key summary statistics of the
portfolio performance over the trading period. In particular, the summary statistics must include the
following: portfolio mean return, standard deviation, t-ratio of mean return (and statistical significance),
excess return over the T-bill (and statistical significance), excess return over the DJIA return (and statistical
significance), Sharpe ratio, market beta, market alpha (and statistical significance), Fama-French betas,
Fama-French alpha (and statistical significance) best weekly return, worst weekly return, number of
winning weeks, number of losing weeks, and maximum consecutive losing weeks. You should do the
analysis on a before- cost basis and on an after-cost basis.
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