As part of my latest project I have decided to use Python to evaluate the university investment society portfolio that I managed this year (see: cufic.co.uk).
The Relative Return Fund mandate was to invest £30,000 in UK equities over the 2012-13 academic year. To perform the stage 1 research, we split the UK equity space into 5 key sectors:
The Relative Return Fund mandate was to invest £30,000 in UK equities over the 2012-13 academic year. To perform the stage 1 research, we split the UK equity space into 5 key sectors:
- Telecommunications, Media and Technology
- Natural Resources
- Financial Institutions
- Consumer and Retails
- Healthcare and Industrials.
On top of this, the sector allocations (stage 2) were chosen using the Black-Litterman model (method to be uploaded). The attached notebook evaluates the performance of the final portfolio relative to a 1/N portfolio and our FTSE 100 benchmark. Sharpe-ratios and Maximum-drawdowns included.
