The Fundamental of Data-Driven Investment
- Analyzing Past Returns and Forecasting Future Returns
- You will learn how to read stock price time-series data from CSV file and analyze the past return data.
After you understand the past return data, you will determine what impacts stocks' return and make a future return forecasting model using regression.
- Understanding the Risk Using Factors
- First of all, you will learn how you can gauge investment strategy using backtesting.
You learned the first component of investment strategy, returns, in the first week. You will expand your study to assessing investment risks. To understand stocks' risks, you will calculate covariance and correlation matrix using historical time-series stock return data. You will extend this to market factor and three-factor models to understand the risk you are facing with your investment. Finally, you will calculate factor exposure using a 3-factor model from week 2 and separate common factor risk and idiosyncratic risk of the stock.
- Portfolio Analysis and Optimization
- In this week, This week, you will download various global ETFs and make global asset allocation portfolio using mean-variance optimization.
- Performance Analysis
- You will learn about various portfolios other than a mean-variance optimized portfolio. Additionally, you will add a constraint to your portfolio optimization. In reality, you might need to consider more than volatility measured by return standard deviation. You will grasp the concepts of VaR, maximum drawdowns and CvaR, etc.