Sector Analysis for Portfolio Construction

Partner: Mosaic Asset Management
Domains: Econometric Modelling, Data analysis
Project Overview: The project aims to predict whether certain sectors will perform better or worse compared to the benchmark index. This prediction is based on modeling global and local economic variables and analyzing how they relate to each sector.

Roles: 3

Stipend: Paid project

Project Duration: 2 Months (plus possible extension)

Work Overview: 

1. A system that takes the previous or historical data series for the macroeconomic variables and sectors as input.
2. Strategize and develop ways to analyze various data series of the macroeconomic variables entered as inputs.
3. A functional system that statistically analyzes the variables using the pre-developed strategies and establishes their relationships with provided sectors.
4. Constructing and listing out long-only portfolios using top-down methodology.

Submission link: https://forms.gle/s4R3fPxbwSyiQ6Pv5

Deadline: 11:59 PM, 25th May, 2024

To enroll for the project, you must fill out the form above. For further credit, you can attempt and submit the assignment below to the best of your abilities, taking the aid of any tools online. We will contact you personally if you are shortlisted for the interview.

(Optional) Assignment: Analyze various economic sectors and make predictions about them-

You are provided with some data sources, your task is to

Task 1 : Gather Historical Data

• Download the last 10 year data of all Nifty sector based indices like Nifty Auto, Nifty Bank etc. from historical data providers like yfinance.
• Get model specific global and local macro economic variable data

Task 2 : Exploratory Data Analysis

• Explore important macroeconomic variables for modeling stock market indices

Task 3 : Build Prediction model

• Create prediction models using global and local economic variables from the first 8 years data in order to predict sectoral indices which will outperform nifty 50.
• You can use models based on econometric theories Like ARIMA or any machine learning model of your choice.

Task 4 : Report your solution

• Form of a comprehensive report with statistical metrics used and results achieved.

Resources:

https://data.worldbank.org/

https://faculty.iima.ac.in/iffm/Indian-Fama-French-Momentum/

https://www.macrotrends.net/global-metrics/countries/IND/india/gdp-gross-domestic-product#:~:text=India%20gdp%20for%202022%20was,a%204.91%25%20increase%20from%202018.