Attached please find the instructions in the file with the name “Project”, and the other 2 files use as a guide, or examples to do the case.
Attached please find the instructions in the file with the name “Project”, and the other 2 files use as a guide, or examples to do the case. For this case, you need to use www.portfolio123.com. One of the files explains how to use it.
The report must include an introduction / Abstract, main body (the case), conclusion, and references, also must contain tables and graphs. If you use excel, please provide it too (with formulas not only numbers)
Consider the Table of Predictive Signals on the next page. Choose 3 (three) signals from the list.
Your choice must include:
at least one P123 Stock Formula (as opposed to Stock Factor);
ii)ii)at least one Boolean signal (in addition to a P123 Stock Formula);
iii)iii) at most one signal using analysts’ data (zero is ok).
For each of the 3 chosen factors:
A) Explain *in detail* what the signal is. Do not just write down the names of formula components, but explain what each one means and where the corresponding data ultimately comes from.
B) Explain the logic behind the signal: *why* would the signal be able to differentiate between attractive and unattractive stocks (what kind of mispricing is the signal trying to identify).
C) Backtest the signal using the specifications a)to e) below. Copy-paste P123 ranking system and backtesting results.
a) Attractive stocks should be highly ranked (position P123 arrow accordingly)
b) Custom Universe with non missing data, having PRussell3000 as starting Universec) MAX time period.
d) 5 buckets (unless it is a Boolean signal, in which case see the attached pdf on backtesting Boolean signals).
e) 4‐week rebalancing, unless otherwise specified.
Does the signal “work” in distinguishing attractive and unattractive stocks on average across stocks and overtime?
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