Submit a report answering the following questions in a Python notebook.And explaining your calculations and how you obtain your final results.. A report as a Jupyter notebook organized by questions
Using the data in Ex.3 of the case, regress HFRI on each index using a window of 10 years to forecast the 12 monthly returns for the following year. So, you can use the data from 1996 to 2005 to forecast the return of the 12 months of 2006. Repeat the same exercise year by year until 2011. For the whole period as well as 2008-9 and 2009-11:
A.What is the average monthly return, volatility, Sharpe ratio, skewness and kurtosis of HFRI and your forecasts?
B.How well do predicted returns correlate with HFRI?
C.Repeat the same exercise with a 3 years and 5 years window. Is there any improvement?
D.How much fees could HFRI replication charge before falling below S&P Sharpe (you can answer this question for the whole period)?
Delivering a high-quality product at a reasonable price is not enough anymore.
That’s why we have developed 5 beneficial guarantees that will make your experience with our service enjoyable, easy, and safe.
You have to be 100% sure of the quality of your product to give a money-back guarantee. This describes us perfectly. Make sure that this guarantee is totally transparent.Read more
Each paper is composed from scratch, according to your instructions. It is then checked by our plagiarism-detection software. There is no gap where plagiarism could squeeze in.Read more
Thanks to our free revisions, there is no way for you to be unsatisfied. We will work on your paper until you are completely happy with the result.Read more
Your email is safe, as we store it according to international data protection rules. Your bank details are secure, as we use only reliable payment systems.Read more
By sending us your money, you buy the service we provide. Check out our terms and conditions if you prefer business talks to be laid out in official language.Read more