excel and bloomberg project
Budget: $10 – $30 USD
For the sector of communication in LSE-UK (London Stock Exchange.)
STEP 1
You are required to collect the data of all the firms acting in your assigned Sector or Industries from 2005 until 2021.
Then create four portfolios according to MSCI Shariah Stock screening methodology.:
1- Portfolio as High Debt Conventional Portfolio is named: HD_CP.
Conventional firms based on Debt level (Only qualitative screening and debt ration are not respected by the firm).
2- Portfolio as Low Debt Portfolio is named: LD_IP.
The Islamic Compliant firms (Only qualitative screening and debt ration of the MSCI criteria are respected by the firm) called LD_IP.
3- Full Conventional Portfolio: all the MSCI criteria are not respected by these firms), this portfolio is named Full Conventional Portfolio: FCP
4- Full Islamic compliant Portfolio: all the MSCI criteria are respected by these firms, this portfolio is named Full Islamic Portfolio: FIP
If all the MSCI criteria are irespected by the firm, the latter will be added to the FIP.
If all the MSCI criteria are not respected, the firm has to be added to the FCP.
If at least one criterion is not respected, the firm has to be screened out and excluded from both proftfolios.
An Excel sheet has to be provided.Foir for all the porfolios, including those who have been screened out and excluded.
Please collect all the variables needed to be able to screen out the firms on yearly basis from 2005 until 2021.
STEP 2
At this stage, all four portfolios are ready.
You are required to collect the daily LAST_PRICE, sigma and adjusted beta of all the firms belonging to each portfolio from 2005 until 2021.
1- For each firm you have to compute the two following ratios:
Simplified Sharpe ration called Risk reward ratio as Return/Sigma
and
Simplified Treynor ratio as Return/Beta
2- Do the same to each portfolio by computing: Simplified Sharpe ratio and Simplified Treynor ratio
3- Draw graphs for each portfolio
STEP 3
Bring critical thinking on the behavior of the studied portfolios in terms of risk-return profile and during shocks.
Conclude and provide recommendations for investors and policymakers.
STEP 4
Collect the value of beta (adjusted beta ) related to the firms of the four portfolios.
Compute the simplified TReynor ratio = Return/Beta.
Bring a critical thinking on the behaviour of the studied portfolio
Conclude and provide recommendations for investors and policy makers.
STEP 1
You are required to collect the data of all the firms acting in your assigned Sector or Industries from 2005 until 2021.
Then create four portfolios according to MSCI Shariah Stock screening methodology.:
1- Portfolio as High Debt Conventional Portfolio is named: HD_CP.
Conventional firms based on Debt level (Only qualitative screening and debt ration are not respected by the firm).
2- Portfolio as Low Debt Portfolio is named: LD_IP.
The Islamic Compliant firms (Only qualitative screening and debt ration of the MSCI criteria are respected by the firm) called LD_IP.
3- Full Conventional Portfolio: all the MSCI criteria are not respected by these firms), this portfolio is named Full Conventional Portfolio: FCP
4- Full Islamic compliant Portfolio: all the MSCI criteria are respected by these firms, this portfolio is named Full Islamic Portfolio: FIP
If all the MSCI criteria are irespected by the firm, the latter will be added to the FIP.
If all the MSCI criteria are not respected, the firm has to be added to the FCP.
If at least one criterion is not respected, the firm has to be screened out and excluded from both proftfolios.
An Excel sheet has to be provided.Foir for all the porfolios, including those who have been screened out and excluded.
Please collect all the variables needed to be able to screen out the firms on yearly basis from 2005 until 2021.
STEP 2
At this stage, all four portfolios are ready.
You are required to collect the daily LAST_PRICE, sigma and adjusted beta of all the firms belonging to each portfolio from 2005 until 2021.
1- For each firm you have to compute the two following ratios:
Simplified Sharpe ration called Risk reward ratio as Return/Sigma
and
Simplified Treynor ratio as Return/Beta
2- Do the same to each portfolio by computing: Simplified Sharpe ratio and Simplified Treynor ratio
3- Draw graphs for each portfolio
STEP 3
Bring critical thinking on the behavior of the studied portfolios in terms of risk-return profile and during shocks.
Conclude and provide recommendations for investors and policymakers.
STEP 4
Collect the value of beta (adjusted beta ) related to the firms of the four portfolios.
Compute the simplified TReynor ratio = Return/Beta.
Bring a critical thinking on the behaviour of the studied portfolio
Conclude and provide recommendations for investors and policy makers.