I have the data that needs to be analyzed. Its a fund management report. 6000 words with Harvard style referencing. Atleast 30 references.
I have the data that needs to be analyzed. Its a fund management report. 6000 words with Harvard style referencing. Atleast 30 references.
Structure should be
Introduction.
Literature review should include.
Fama Mac Beth regression
FF factor
Value effect
Growth effect
Momentum effect
Return predictive signals
Use of leverage in investment (short position)
Idea behind long-short position/ long only position.
Data anlysis should include.
Fama Mac Beth regression
Portfolio performance.
Mention its annualised Sharpe ratio
Research on economic conditions affecting stock returns for every period as Im doing an overall sample of 1990-2020 with three sub samples on 1990-2000, 2000-2010, 2010-2020
Formulas
B/M ratio
Long short portfolio.
Sharpe ratio formulas
Broader analysis:- Mention of what furhtur analysis can be done.
Conclusion
Collected market data from WRDS (CRSP and compustat)
CRSP:-
1)Stock and security monthly files from 1990 to 2020
Entire Ameirican stock exchange database as per pernmoVariables :- Closing prices/ holding period and delisting return/ shares outstanding (number
)/ share code
Shares outstanding * price = market capitalization
Ordinary share with no further definitions (no mutual funds, outside us companies) and are part of new york stock exchange, american stock exchange and NASDAQ.
Compustat:- Fundamentals
Stockholders equity total :- (Proxy for book value of equity) used to creat B/M ratios.
Data processing:-
For companies that have holding period return and delisting return in same month. Compounded average is take other the available return is taken.
Momentum is created using my data.
Fama macbeth regression is done by regressing the returns to market cap/ B/M/ momentum created from my data.
Long short portfolio performance is calculated using equal weighted and value weighted protfoilios.
Long only performace is calculated.
EW and VW alpha stats are generated by regressing the the alpha against fama French factors.
B/M tables
1990-2020 Fama mac beth regression
Title Constant Market cap B/M momentum
Beta 0.00599266282422423 0.000542042719823930 0.00148848393035949 0.00783692336514384
P 0.2711 0.2800 0.1437 0.0279
t-stat 1.10653647434553 1.08604222787431 1.47374504717131 2.23075199435911
Descriptive results as per b/m
Mean ret SD
LS_EW 0.000486375424556454 0.0328583779059500
LS_VW -0.00112973857385160 0.0386672383015504
Descriptive results as per b/m
LS_EW LS_VW
Sharpe ratio 0.0512762345905161 -0.101210466282662
t-test 0.149494628623051 -0.295076680074533
Long only position VW
Mean returns SD Sharpe ratio T-stat
Q1 0.0116991996087359 0.0361804930730068 1.12013996544113 3.26574112699046
Q2 0.0104836798165994 0.0347730872679025 1.04438619169692 3.04488282171270
Q3 0.00995912499105812 0.0356105752288236 0.968797070679133 2.82450455749853
Q4 0.00854495854797098 0.0431781490147463 0.685545938923925 1.99869269578598
Q5 0.0105694610348843 0.0548527581335773 0.667490355779680 1.94605207741224
Long only position EW
Mean returns SD Sharpe ratio T-stat
Q1 0.00815697199522412 0.0488676658728809 0.578226509463188 1.68580548050208
Q2 0.00770026077724665 0.0462741423956102 0.576444735969272 1.68061076273681
Q3 0.00738098808064440 0.0447900861893407 0.570851608174795 1.66430413318115
Q4 0.00875810328998527 0.0439214730426943 0.690754604766785 2.01387843576900
Q5 0.0145592100562395 0.0922192759014817 0.546898493595078 1.59446940375813
EW cum ret
vs VW cum ret
Alpha stats:-
EW
Beta to ff factors
Constant Market risk premium SMB HML
Beta 0.00242319721831867 -0.0368483622125519 0.0145325383276858 1.00424733927741
T-stat -1.08481441347139 -0.514466862323143 0.128325814996369 9.55630808922683
P 0.338474725071531 0.608083909700109 0.898154113758841 1.11197757977028e-15
Alpha stats:-
VW
Beta to ff factors
Constant Market premium SMB HML
Beta -0.00202359495391524 0.296907360367006 0.140714661158140 1.32681223827531
T-stat -0.993291761161915 5.12600487870335 1.53649353738730 15.6126907049643
P 0.323014023185651 1.48872748904990e-06 0.127639831775715 2.48227480186426e-28
Momentum Tables
1990-2020 Fama mac beth regression
Title Constant Market cap B/M momentum
Beta 0.00599266282422423 0.000542042719823930 0.00148848393035949 0.00783692336514384
P 0.2711 0.2800 0.1437 0.0279
t-stat 1.10653647434553 1.08604222787431 1.47374504717131 2.23075199435911
Descriptive results as per Momentum
Mean ret SD
LS_EW 0.00856679926945336 0.0435604555848917
LS_VW 0.00425436062430851 0.0518989342372250
Descriptive results as per b/m
LS_EW LS_VW
Sharpe ratio 0.681266134327739 0.283966091532472
t-test 1.98621502842613 0.827896309746541
Long only position VW
Mean returns SD Sharpe ratio T-stat
Q1 0.00628519167972374 0.0673437081727981 0.323304778425847 0.942587305187365
Q2 0.0107825278852723 0.0452806070489215 0.824895572232162 2.40496319997831
Q3 0.0110903261195719 0.0373152931338451 1.02955151619507 3.00163268209924
Q4 0.0106828891604645 0.0340074476546703 1.08819144473550 3.17259598331746
Q5 0.0105395523040323 0.0394664523965139 0.925091512974495 2.69708205524197
Long only position EW
Mean returns SD Sharpe ratio T-stat
Q1 0.000834003270052807 0.0702205420467206 0.0411428335728010 0.119950941690314
Q2 0.00837222932678276 0.0469894590369564 0.617207640343381 1.79945402998662
Q3 0.0106383531696844 0.0406287440055749 0.907050840470302 2.64448490848066
Q4 0.0106417728925779 0.0384011205299198 0.959976744334476 2.79878910819227
Q5 0.00940080253950616 0.0470254544379219 0.692504424464070 2.01897999300876
EW cum ret
vs VW cum ret
Alpha stats:-
VW
Beta to ff factors
Constant Market cap B/M Momentum
Beta 0.00717142713908927 -0.454778666941013 -0.348638899332734 -0.885648700389481
p 0.115315323894897 0.000605909919980432 0.0889052694029873 8.37351510777341e-06
t-stat 1.58885036874931 -3.54390685560932 -1.71826994507287 -4.70385515818355
Alpha stats:-
EW
Beta to ff factors
Constant MrpSMB HML
Beta 0.0104934116471735 -0.289525101528846 -0.255153035415380 -0.485878357480557
p 0.0145746851473903 0.0176599403231900 0.181665154203247 0.00688938996132099
t-stat 2.48693695518500 -2.41345438010884 -1.34520027730851 -2.76051850268884
Book to Market tables
1990-2020 Fama mac beth regression
Title Constant Market cap B/M momentum
Beta 0.0111140941976732 -0.000836889890400936 0.00405971799645523 0.00340277735144279
P 0.0817 0.2340 0.0003 0.4707
t-stat 1.75844312943038 -1.19718793658367 3.71246643590831 0.724027362988783
Descriptive results as per b/m
Mean ret SD
LS_EW 0.0154060410347346 0.0531722636617510
LS_VW -0.00214248017022060 0.0648611187864107
Descriptive results as per b/m
LS_EW LS_VW
Sharpe ratio 1.00368289698549 -0.114425547337564
t-test 2.92621334500068 -0.333604931033340
Long only position Value Weighted
Mean returns SD Sharpe ratio T-stat
Q1 -0.000928814174682008 0.0421890159502093 -0.0762640846251552 -0.222346104376846
Q2 0.00236383901958217 0.0468256581700587 0.174873752674686 0.509840219758585
Q3 0.00382911901350879 0.0522534110616155 0.253848640495631 0.740089605650952
Q4 0.000409067704801257 0.0674851023152418 0.0209979987921376 0.0612191604224869
Q5 -0.00307129434490261 0.0937571512271757 -0.113476951480334 -0.330839322627762
Long only position Equal Weighted
Mean returns SD Sharpe ratio T-stat
Q1 -0.000846830978495045 0.0608765862528563 -0.0481877966706080 -0.140490362152451
Q2 0.00334321511472015 0.0556420382975611 0.208138257206201 0.606822082623147
Q3 0.00740668703763979 0.0568260081347828 0.451510098493142 1.31636683217519
Q4 0.00809974166411599 0.0630155451434184 0.445260421329440 1.29814604872526
Q5 0.0145592100562395 0.0922192759014817 0.546898493595078 1.59446940375813
EW cum ret (blue)
vs VW cum ret (red)
Alpha stats:-
VW
Beta to fama french factors
Constant Market risk premium SMB HML
Beta -0.00477631031312875 0.830040502680065 0.0365099450289384 0.799861579304492
T-stat -1.08481441347139 8.23095515730478 0.215623880623177 4.98789268843214
P 0.280665349066997 8.13674879004269e-13 0.829729077158878 2.64236908583795e-06
Alpha stats:-
EW
Beta to ff factors
Constant Market premium SMB HML
Beta 0.0134473050415208 0.348169069240814 0.0833700001649718 0.576223186701067
T-stat 2.82589278707424 3.19446879166565 0.455567771992673 3.32468502433316
P 0.00571462816260456 0.00188471028047043 0.649708626864802 0.00124619209765976
Momentum Tables :-
Fama mac beth regression
Constant Market cap B/M Momentum
Beta 0.0111140941976732 -0.000836889890400936 0.00405971799645523 0.00340277735144279
p 0.0817 0.2340 0.0003 0.4707
t-stat 1.75844312943038 -1.19718793658367 3.71246643590831 0.724027362988783
Descriptive results as per Momentum
Mean ret SD
LS_EW -0.00125452710219459 0.0824506945133257
LS_VW 0.00163905455381858 0.0944527349912531
Descriptive results as per b/m
LS_EW LS_VW
Sharpe ratio -0.0527079776173869 0.0601131510665906
t-test -0.153668840980783 0.175258446058429
Long only position VW
Mean returns SD Sharpe ratio T-stat
Q1 0.000712350814480520 0.113412145936203 0.0217583009881039 0.0634358031875994
Q2 -3.94432494473428e-05 0.0709929540514535 -0.00192463359135320 -0.00561122294319192
Q3 0.000911577938293914 0.0485694086168479 0.0650162046089337 0.189553180730056
Q4 0.00304824926124910 0.0397441569323555 0.265685474400869 0.774599610195311
Q5 0.00235140536829910 0.0466233185167705 0.174708866577967 0.509359498309535
Long only position EW
Mean returns SD Sharpe ratio T-stat
Q1 0.00858064089035263 0.111302563796139 0.267057747399513 0.778600439116154
Q2 0.00451755795380439 0.0713817438551354 0.219233643773279 0.639170415286821
Q3 0.00487998039894749 0.0535740466180083 0.315539875163215 0.919948916491099
Q4 0.00817550919653875 0.0470886908425862 0.601435166396484 1.75346976156309
Q5 0.00732611378815803 0.0555954273701758 0.456483631958831 1.33086704936810
EW cum ret
vs VW cum ret
Alpha stats:-
EW
Beta to ff factors
Constant Market cap B/M Momentum
Beta -1.29584630076478e-05 -0.917206160473399 -0.299406067712067 0.180068161100690
p 0.998535519162772 1.34051888750905e-07 0.271624513445138 0.484305530601618
t-stat -0.00184014376412549 -5.68660762290102 -1.10555823833122 0.702060507109599
Alpha stats:-
EW
Beta to ff factors
Constant MrpSMB HML
Beta 0.00166518814674747 -1.37089420473448 0.242312279150533 -0.0386686643429863
p 0.818941608292460 7.40741124237921e-13 0.387254252521633 0.883954548560858
t-stat 0.229521964636995 -8.24998048504955 0.868478619206799 -0.146338792165773
B/M tables
1990-2020 Fama mac beth regression
Title Constant Market cap B/M momentum
Beta 0.02876552 -0.0020757 0.00515482 0.01200068
P 0.0002 0.0465 0.0017 0
t-stat 3.88580373 -2.0156593 3.23091274 4.47880851
Descriptive results as per b/m
Mean ret SD
LS_EW 0.0130918276575250 0.0449138391942412
LS_VW -0.000359559455072563 0.0433950000646658
Descriptive results as per b/m
LS_EW LS_VW
Sharpe ratio 1.00974270174064 -0.0287026267357723
t-test 2.94388056001039 -0.0836818178759944
Long only position VW
Mean returns SD Sharpe ratio T-stat
Q1 0.0131425218873421 0.0438338538336623 1.03862716405653 3.02809251514660
Q2 0.00893406123059326 0.0386119034506598 0.801527331543890 2.33683365631807
Q3 0.00992851913423066 0.0360808044364187 0.953232604040808 2.77912672938003
Q4 0.0112849283258139 0.0353644655632113 1.10540730130056 3.22278839904715
Q5 0.0127829624322695 0.0417252823239580 1.06126258089917 3.09408552851121
Long only position EW
Mean returns SD Sharpe ratio T-stat
Q1 0.00814356377657383 0.0607898764254797 0.464059710106313 1.35295492298288
Q2 0.00764301658016269 0.0454226774594648 0.582884751861965 1.69938647417298
Q3 0.00921925640178743 0.0390583119859408 0.817660553361767 2.38386967648253
Q4 0.0119856968462101 0.0395853618928271 1.04886427250350 3.05793855859491
Q5 0.0212353914340989 0.0559252979710209 1.31535381006038 3.83488239558178
EW cum ret
vs VW cum ret
Alpha stats:-
VW
Beta to ff factors
Constant Market risk premium SMB HML
Beta -0.00255666964262872 0.0895920933612849 0.679072248317121 1.45196167057873
T-stat -1.08457872665679 1.36013295076601 8.89013915920857 15.5183002534684
P 0.280769247566871 0.176908473616444 3.09271551598102e-14 3.79621482921632e-28
Alpha stats:-
EW
Beta to ff factors
Constant Market premium SMB HML
Beta 0.0147066957776780 -0.227993784160899 0.0796187638184087 1.05714792746327
T-stat 4.50630434907870 -2.50007840600591 0.752882064356113 8.16100615870252
P 1.82636720317521e-05 0.0140768307733045 0.453325566702109 1.14887382736579e-12
Momentum Tables
Fama mac beth regression
Constant Market cap B/M Momentum
Beta 0.0287655162123708 -0.00207567900704344 0.00515482087086536 0.0120006781966035
p 0.0002 0.0465 0.00170 0.0000
t-stat 3.88580372535560 -2.01565932563060 3.23091273506065 4.47880851026490
Descriptive results as per Momentum
Mean ret SD
LS_EW 0.0138525109827028 0.0459180685062031
LS_VW 0.0159630605292206 0.0531569748649377
Descriptive results as per b/m
LS_EW LS_VW
Sharpe ratio 1.04504625804136 1.04027108206056
t-test 3.04680722926363 3.03288531854690
Long only position VW
Mean returns SD Sharpe ratio T-stat
Q1 0.00207315125026192 0.0599109855606259 0.119871281155772 0.349481836996390
Q2 0.00650019221101113 0.0404149645664482 0.557153187647799 1.62436671761702
Q3 0.00821647753663654 0.0368068274852407 0.773299820986177 2.25453702823144
Q4 0.0124042121732765 0.0365276709446982 1.17635344145026 3.42963016421609
Q5 0.0180362117794825 0.0512845391656297 1.21828666831708 3.55188547854414
Long only position EW
Mean returns SD Sharpe ratio T-stat
Q1 0.00659443796515367 0.0713168318041321 0.320314330125514 0.933868725095736
Q2 0.00796000744280678 0.0432624536784509 0.637371954075510 1.85824260166892
Q3 0.0101555676915450 0.0349807709076493 1.00569305735995 2.93207391922288
Q4 0.0133339833528150 0.0371435536350840 1.24356096141208 3.62557207215072
Q5 0.0204469489478565 0.0548544178431993 1.29124164761672 3.76458396593695
EW cum ret
vs VW cum ret
Alpha stats:-
VW
Beta to ff factors
Constant Market cap B/M Momentum
Beta 0.0165255101321807 -0.0336147442609582 -0.532391847040983 -0.567638760360103
p 0.00286784221995235 0.824273535013303 0.00302601759669066 0.00946606353361476
t-stat 3.05855960019415 -0.222647126919510 -3.04088207597865 -2.64689459763709
Alpha stats:-
EW
Beta to ff factors
Constant MrpSMB HML
Beta 0.0125102086876914 0.113911124586102 -0.418811268241422 -0.415279302646051
p 0.00859234232095736 0.384304948723250 0.00669188953826461 0.0271533235815706
t-stat 2.68187690721240 0.873907842161328 -2.77075900860776 -2.24293715149359
B/M tables
1990-2020 Fama mac beth regression
Title Constant Market cap B/M momemtumBeta 0.0159082879033415 -0.000780221828514488 0.00378367811329402 0.00818037522589535
P 0.0001 0.1346 0.0000 0.0002
t-stat 3.96999696478751 -1.49985545377661 4.50060674580201 3.77122824784900
Descriptive results as per b/m
Mean ret SD
LS_EW 1.0187% 0.0530660921333677
LS_VW 0.0882% 0.0526103410469658
Descriptive results as per b/m
LS_EW LS_VW
Sharpe ratio 0.664969855789789 0.0580457237663954
t-test 3.54996759275478 0.309879367424799
Long only position VW
Mean returns SD Sharpe ratio T-stat
Q1 0.00676581 0.04360765 0.53746167 2.86926014
Q2 0.0073668 0.04104197 0.62178644 3.31943122
Q3 0.00834474 0.04323656 0.66857819 3.56923084
Q4 0.00754664 0.05190552 0.50365226 2.68876732
Q5 0.00764736 0.06768815 0.39137197 2.08935458
Long only position EW
Mean returns SD Sharpe ratio T-stat
Q1 0.00502348 0.06370399 0.27316722 1.4583139
Q2 0.00677447 0.05094971 0.46060022 2.45893232
Q3 0.00856931 0.04817538 0.61618545 3.28953011
Q4 0.01052771 0.05148995 0.7082751 3.78115432
Q5 0.01521006 0.07490592 0.70340489 3.75515454
EW cum ret
vs VW cum ret
Alpha stats:-
VW
Beta to ff factors
Market premium SMB HML Constant
Beta 0.362260105825005
0.314264380733742
1.19653903742085
-0.00431940976333277
T-stat 7.19263336364011
4.63370295447752
16.9555999492313
-2.07551280224936
P 4.26452724707614e-47
5.13519216042684e-06
4.11871501199388e-12
0.0386948823833839
Alpha stats:-
EW
Beta to ff factors
Market premium SMB HML Constant
Beta 0.0287963182204881
-0.00783531742155405
0.914641755208010
0.00824150990900434
T-stat 7.19263336364011
4.63370295447752
16.9555999492313
-2.07551280224936
P 0.635454230717019 0.923674845288637
2.10620604684515e-23
0.00112086991566819
Momentum Tables
Fama mac beth regression
Constant Market cap B/M Momentum
Beta 0.01590829 -0.0007802 0.00378368 0.00818038
p 0.0001 0.1346 0 0.0002
t-stat 3.96999696 -1.4998555 4.50060675 3.77122825
Descriptive results as per Momentum
Mean ret SD
LS_EW 0.00736781 0.07086226
LS_VW 0.00696442 0.0765033
Descriptive results as per b/m
LS_EW LS_VW
Sharpe ratio 0.36017545 0.3153519
t-test 1.92281074 1.68351848
Long only position VW
Mean returns SD Sharpe ratio T-stat
Q1 0.00221818 0.0863236 0.0890139 0.47520417
Q2 0.00555386 0.05580749 0.34474128 1.84041483
Q3 0.00632494 0.04275334 0.5124798 2.73589346
Q4 0.0079 0.03871443 0.70687874 3.77369983
Q5 0.0091826 0.05183557 0.61366091 3.2760528
Long only position EW
Mean returns SD Sharpe ratio T-stat
Q1 0.00528662 0.09386723 0.1950988 1.0415426
Q2 0.00765439 0.056723 0.46745763 2.49554082
Q3 0.00922452 0.04394583 0.72713762 3.88185265
Q4 0.01126977 0.04263635 0.91564231 4.88819231
Q5 0.01265443 0.05953206 0.73634659 3.93101509
EW cum ret
vs VW cum ret
Alpha stats:-
VW
Beta to ff factors
Constant Market cap B/M Momentum
Beta 0.01240831 -0.6395678 0.03426026 -0.5184577
p 0.00167398 6.54E-11 0.78853821 0.00011429
t-stat 3.16816846 -6.7475884 0.26842206 -3.9038595
Alpha stats:-
EW
Beta to ff factors
Constant MrpSMB HML
Beta 0.0107739 -0.3910084 -0.1421145 -0.2586379
p 0.00474036 2.61E-05 0.25065023 0.04493524
t-stat 2.84303303 -4.2634543 -1.1507459 -2.0127345
Data collection:
Market data from WRDS CRSP (Market data) Stock prices/stock returns.
Monthly Data
1990-2020
PERMNO (Company identifier)
All companies in American stock exchanges
Variables (Price/ Holding period return/ Delisting return/ Share Code/ Exchange Code)
Accounting data from compustat.
1990_2020 accounting data. As are GVEK - compustat company indentifierVariables :- SEQ (Stockholder equity - proxy for bv of equity),
