Herron Topic 3 - Practice - Blank

FINA 6333 for Spring 2025

import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
import pandas_datareader as pdr
import statsmodels.api as sm
import yfinance as yf

%precision 4
pd.options.display.float_format = '{:.4f}'.format
# %config InlineBackend.figure_format = 'retina'

Announcements

Five-Minute Review

Practice

Re-implement the value strategy from the lecture notebook

Read the data

Create the interim data frames

Combine the data frames and form portfolios

Backtest the strategy

Re-implement the value strategy from the lecture notebook with value-weighted portfolios

Estimate the \(\alpha\)s of the equal-weighted and value-weighted portfolios

Implement a momentum strategy

Form deciles on the 11-month returns from months \(t-12\) to month \(t-1\).