MGTF 490 Asset Allocation Project
台湾金融作业代写 You want to derive the difference from the survey column and the actual column. That difference is the SURPRISE… your independent variable.
1.Regress ROIC and DIV Yields portfolio returns and EBIT 6 Sectors portfolios returns with GDP surprises and Interest rate surprises to market sensitivity(Macro Surprise Model). 台湾金融作业代写
You want to derive the difference from the survey column and the actual column. That difference is the SURPRISE… your independent variable.
2.Use NFY recession probability file as reference, label any time periods with volatilities above 10% as recession period, anytime below as expansion. Compare and contrast DIV Yields and ROIC portfolios performances( sharpe ratio, mean return, volatility) with EBIT sectors portfolios performances in both recession periods and expansion periods. (All 6 sectors) Using charts as illustration proof.
3.Use mean variance optimization method to optimize an EBIT sector portfolio that allocate weights optimally of 6 sectors(one in recession period, one in expansion period). 台湾金融作业代写
Also combine the Div yields and ROIC portfolios into an optimize portfolio that optimize returns(Max sharpe ratio and low volatility)(again, one in recession period, one in expansion period). Using charts to compare outcome performances.
4.Use max sharpe ratio optimization method to combine portfolios from Q3 into a mix top down-bottom up portfolio that optimally allocate weights in recession periods and expansion periods. (Same max sharpe ratio and low volatilities, Top-down means portfolio generate from 6 EBIT sectors, Bottom-up means portfolio construct from div yields and ROIC portfolios) Using chart to illustrate performances comparison.