Homework 2
FIN6102 Spreadsheet and VBA Modelling in Finance
Homework: Portfolio Construction
Find at least 5 assets like different stocks, or different asset classes, get the daily return of the assets for at least 5 years. You may also collect other information such as accounting data, turnover data etc.
Use the first 2 or more years of data to train your model and leave 3 years for backtesting. Rebalance your portfolio annually.
Based on the assets you collected, build a) An equal weighted portfolio and b) Another strategy of your choice. Your strategy must be a reasonable strategy and must use historical data. Random choice of assets, for example, is not acceptable. You also should not use the strategies that we already covered in class, like Risk-Parity or the MSCI momentum factor.
Tools
For this homework, you can choose to complete it in Excel or Python. The tool that you choose will not affect yours score.
Submission
• 1-2 pages of summary on your selection of assets, description of your strategy and how it is trained using the historical data and the backtesting result (i.e., your portfolio return).
• Your python code/ Excel worksheet for calculation and generation of the portfolio return.
• Use of AI tools is allowed. However, you must specify what AI tools you used and how you used the tool (for example, use of Copilot to help debug OR dump this homework to ChatGPT and ask it for a full solution).