After a deep dive into the Covid19 situation (e.g., whether things are going to get worse or better; how government interventions on the biological, economical, and financial warfare have been working; how certain stocks, industries, and asset classes tend to perform amidst the pandemic) in the chosen country, you have developed a point of view of how things are going to evolve the coming year. Based on the point of view and the team brainstorming, you have developed a sense of what stocks, industries, or asset classes to invest in. Even though your fund is based in the chosen country, you can diversify your portfolio beyond the country and into other asset classes.

1.     Based on your investment strategy (i.e., chosen stocks, industries, asset classes), identify the maximum Sharpe ratio and minimum volatility portfolios. 

2.     If you have USD 1 million now, how much should you invest in each. 

3.      Plot a graph showing how your portfolios (maximum Sharpe and minimum volatility portfolios) perform relative to the market (i.e., SPY).

 4.      Comment on your strategy note and highlight the potential future issues/risks

B 1. Plot a histogram of the portfolio return of your strategy (both maximum Sharpe ratio and minimum volatility). Hint: you can use the portfolio returns you calculated and see how you plot histogram in the oil pipeline example

 B 2.      Construct the confidence intervals for both portfolios. Hint: you can see an example of how to do this in the oil pipeline example. There are two ways to construct. It can be calculated based on either the bootstrapped sample (bootstrapped confidence interval) or mathematically (theoretical confidence interval).

Importing Packages and Data

4.1 Covid-19 Situation in the United States of America

4.2 Evaluate the potential hidden cases (e.g., case positivity rate) and deaths (e.g., estimated infection fatality rate, excess death).

4.3 Explore the relationship between the country's Covid19 cases and deaths and government health intervention policies (e.g., vaccination rate, closure), as well as Google community mobility reports.

4.4 Brainstorm on an investment strategy for the country.

Proceed to Next File for Lab 5