Objective: backtest if a specified economic indicator (and its transformation) can help forecast equity returns. To analyze this I would like to form 5 portfolio (quartile 1, 2, 3, 4, long short) in month M (made of equally weighted equity indices) based on the economic indicator rank in month M-1.
1. Provided raw data (Bloomberg live feed):
a. 10 years of monthly data of an economic indicator for several countries. The length of the data and the number of countries may change so I need to be able to change the array of raw data.
b. Monthly closing price of equity indices (for the same countries as specified in 1.a.)
2. Transform the economic data: percentage change of the economic indicator on a specified length (1, 2, 3, 6, 12 months).
3. Transform the equity index data: percentage change on a specified length (1, 2, 3, 6, 12 months).
4. Monthly quartile ranking of the transform economic data in 2.
5. Investment strategy: at the end of month 0 rank in quartile the percentage change of the economic indicator across the countries -> in month 1 buy the equally weighted portfolio of equity indices corresponding to the countries ranked in quartile 1. Same for quartile 2, 3, 4, and a long short quartile (long 1 short 4).
6. Draw the chart of those quartile portfolios to visually inspect the difference in returns of the quartiles.
18 freelancers are bidding on average $184 for this job
Greetings sir, i am an expert freelancer for this job and your 100% satisfaction is assured if you allow me to serve. Here is the reason. Why you should pick me? a) I am a very expert and have the same kind of ex Daha Fazla
Hi, Thanks for posting this request. I saw the attached document and also read all the requirements. I am sure we can work on your requirement together as I have extensive expertise in excel, VBA and macros. Let' Daha Fazla
Hi!!! I can help you with the task! I am very analytical, have lots of experience in analysing data (excel), structuring and presenting it to make decisiones. I am very responsable and self-motivator so you can trus Daha Fazla
Hi , I am interested by your offer: Excel VBA code. I will be happy to do this job even though I'm new in the field of freelance. Let me know more details of this work. I will start working immediately :) B Daha Fazla
I have done a similar project, hence I'm confident to take up this project & complete accurately. You can trust my work and award to start from now. Thanks
Hello, My name is Alex and I have intensive experience in Finance. I am confident I can exceed your expectations. I read through the job details extremely carefully and I am sure that I can do the project very well a Daha Fazla
Hi there, I am a reputed and an experienced academic writer with excellent research skills. I am known for my quality and commitment. My profile and previous reviews by various employers is the greatest evidence for my Daha Fazla
Greeting, sir/madam! I've a vast experience in academic writing and I assure you the quality of work. I'm an aesthetic writer with a passion for excellence. I am very excited about your job post. I have been an academi Daha Fazla
Dear concern, I read your work details.I think i can do this. Because i have two year [url removed, login to view] accept me. Thanks Shakibul267
For about 9 years of experience as M.I.S. Head I manage my team in producing accurate database system and also I was trained for this position as a head in preparing reports for management consumption using Microsoft O Daha Fazla
Hello!! Here is a professional electrical engineer who got gold medal in engineering,got first position in article writing and content [url removed, login to view] u hire me ,ill give you my best. And according to your requirement, i'll Daha Fazla
Hello, I have been in finance industry for 10 years and such jobs are my daily practice. I am also CFA charterholder and University graduate (University of Economics in Prague) focused on economic field with financ Daha Fazla
I've been investing in Stocks and commodities since I was a student at college and have been making considerable amount of pocket money through it. Plus my educational background is of Economics, Accounting and Finance Daha Fazla
This is the sort of analysis I do for fun in my free time. I would love to help you with your project.