regression model to predict ETF next month return
Budget: €30 – €250 EUR
The assignment consists of prototyping a tactical asset allocation fund based on predicting the next month’s return of an exchange traded fund (listed on a US exchange) that you can choose.
• The period of interest is 2006-01 till 2022-09. You thus need to make sure you select an ETF that is listed over this period.
• The features you use need to be a combination of
• Technical analysis variables
• Macro-economic variables
Concrete steps:
• Step1:Proposeareturnpredictionmodel
• Step 2: Check the data (summary statistics, Nas, outliers?)
• Step 3: Evaluate the accuracy of the return prediction based on the relative mean squared error improvement compared to using the sample mean (split training and test set).
• Step4:Proposeaninvestmentrulebasedonthepredictedreturn. •Step5:Evaluatethefinancialperformanceoftheinvestmentrule.
• The period of interest is 2006-01 till 2022-09. You thus need to make sure you select an ETF that is listed over this period.
• The features you use need to be a combination of
• Technical analysis variables
• Macro-economic variables
Concrete steps:
• Step1:Proposeareturnpredictionmodel
• Step 2: Check the data (summary statistics, Nas, outliers?)
• Step 3: Evaluate the accuracy of the return prediction based on the relative mean squared error improvement compared to using the sample mean (split training and test set).
• Step4:Proposeaninvestmentrulebasedonthepredictedreturn. •Step5:Evaluatethefinancialperformanceoftheinvestmentrule.