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What Happened to the Quants in 2007?????

What Happened to the Quants in 2007?????. GROUP 5 3/10/2010. Outline. -Update on Results from Paper 1 -Progress on Paper 2. Table 1. Table 2. Table 3 . Table 6 . Figures and Other Tables. Figure 1 Figure 2 Figure 5 Table 5. Modifications for Closer Results.

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What Happened to the Quants in 2007?????

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  1. What Happened to the Quants in 2007????? GROUP 5 3/10/2010

  2. Outline -Update on Results from Paper 1 -Progress on Paper 2

  3. Table 1

  4. Table 2

  5. Table 3

  6. Table 6

  7. Figures and Other Tables • Figure 1 • Figure 2 • Figure 5 • Table 5

  8. Modifications for Closer Results • Market Cap calculation: • Currently: satisfy criteria for entire year • Alternate: satisfy criteria each day • Cascade Effects • Daily Market Return: How to resolve Market going up/down • Computing weights affected (more/less stocks prev day) • Portfolio return affected • More special cases to handle

  9. Modifications for Closer Results • Market Return • ((Last Day/First Day)-1)/Number of Trading Days • Sum of Daily Returns /Number of Trading Days

  10. Unsure of Authors Methods • Unable to Verify Authors results in table • Arith AVG(3.57+2.75+1.94+1.62+1.07+0.61+0.21-0.01-0.02+0.04) ==1.178% != 1.38% • Geom AVG(1.0357*1.0275*1.0194*1.0162*1.0107*1.0061*1.0021*0.9999*0.9998*1.0004)^.1 ==1.171%!=1.38%

  11. Unsure of Authors Methods • Annualized Sharpe Ratio: DailyReturn/StdDev*Sqrt(250) • 3.57/0.92 * sqrt(250) ==61.35 != 61.27 • 3.57/0.92 * sqrt(252) ==61.59 != 61.27

  12. Paper 2 Progress • Our goal is to reproduce figure 1 & 2 in this paper. • Figure 1: Shows the cumulative daily returns for the Market, SMB, HML, Momentum Factors, and Contrarian Strategy from 1/3/07 – 12/31/07. • Figure 2: Shows the cumulative performance of 5 equity market neutral portfolios constructed from 1/3/07 – 12/31/07.

  13. Market SMB, HML, and Momentum factor data were downloaded from Kenneth French website. • http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ • CRSP was used to get daily returns for stocks from 1/3/07 – 12/31/07. • NYSE website was used to get volume data. • Initially, we had trouble finding the volume data, but after a longer search, we were successful.

  14. Calculations for Figure 2 • The following calculations will be made for Figure 2: • Book to Market Factor • Earnings to Price Factor • Cashflow-to-Market Factor • Price Momentum Factor • Earnings Momentum Factor • We will also generate the daily regressions and the 5-day moving averages.

  15. Goals for Next Week • Finish running our code for each year to generate the data for the remaining days and/or years for the respective table in the text. • Again, the code will take time to compute the year data. So hours will be dedicated to allow code to finish. • We have downloaded the data files to extend our results to the 2010. • For Paper 2, we will finish generating mock code to reproduce figures 1 and 2.

  16. Question??

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