Charges for After Spring Break
Posted: Thu Feb 28, 2008 9:43 amOk so here's what we need accomplished.
1. Get the screens done for each industry. You should end up with anywhere from 20 - 50 in each. Now some like manufacturing and consumer durable/nondurable might need to screen separate catergories and combine them in which case the sum of the parts should be around 50 or so.
2. Find backtesting software (unlikely) or take the companies you have in your screen and look at their 5 year performance (don't forget to factor in dividends) and compare them against the Fama-French website's results for that industry. If you know how to ... run the regression and see what kind of alpha you get. If you don't know how you let us know.
1. Get the screens done for each industry. You should end up with anywhere from 20 - 50 in each. Now some like manufacturing and consumer durable/nondurable might need to screen separate catergories and combine them in which case the sum of the parts should be around 50 or so.
2. Find backtesting software (unlikely) or take the companies you have in your screen and look at their 5 year performance (don't forget to factor in dividends) and compare them against the Fama-French website's results for that industry. If you know how to ... run the regression and see what kind of alpha you get. If you don't know how you let us know.