FIN 539 Investment Analysis

Spring 2025

Final Team Project Guidelines: ETF-based Super Portfolio

1. Project Objective: The final project requires students to collaborate in teams of 2-3 to create and backtest a “superb” portfolio that consists of a minimum of five ETFs and is expected to outperform. the Nasdaq Index (ETF: QQQ) in terms of Sharpe ratio in the long run. Your backtesting period is 2015-2024. The selected ETFs in your portfolio should not include QQQ or any other similar ETFs that track the Nasdaq index. Backtesting only tells you about the past, which may not be the same as the future. So rationale and thought process are more important than the backtest results.

● Team formation: 4/14 (Mon) to determine your team

● Project preparation: 4/14 – 4/27

● Team idea presentation: 4/28 (Mon) in class to present your ideas and plans

● Team written report submission: 5/17 (Sat) midnight.

2. Deliverables: Including three parts:

● Part I (Slide deck): Upload your Google slide deck titled “YourTeamNumber + Portfolio Name” to the designated Google drive under module “Week 14 Team Project Idea Presentation.”

o Deadline for submission: 4/28 (Monday) 6:00 pm

● Part II (Presentation): Deliver a 5-min presentation with 2-min Q&A to share your idea for feedback from the instructor and peers.

o Presentation day (In-person): 4/28 (Monday) 6:30 pm – 9:20 pm

● Part III (Written report): Upload your Word report (3 pages or less excluding the cover page) titled “YourTeamNumber + Portfolio Name” to the submission link under module “Final Team Project Submission.”

o Deadline for submission: 5/17 (Sat) midnight

o Submission will be scanned by Turnitin, a plagiarism detection software.

o Only the team leader (one student) submits the report with all team member names on the cover page.

3. Required Elements in Slides and Presentation

(a) Cover Page: Team ID, Portfolio Name, Team Member Names, and Executive Summary

● Name your portfolio to be intuitive, descriptive, unique, and attractive

● Include your team ID and all team members’ names to receive course credit.

(b) Your Research and Strategy Ideas

● Share various research and strategy ideas you have gathered and attempt to experiment in your data analysis. Present your strategy ideas in a way that is easy for anyone to understand and follow. You may consider multiple ideas as some of them may not produce good performance in your backtesting. Focus on the rationale and thought process that account for not just the past but also mega trends that are likely to impact the future.

4. Required Elements in Written Report

(c) Cover Page: Team ID, Portfolio Name, Team Member Names, and Executive Summary

● Name your portfolio to be intuitive, descriptive, unique, and attractive

● Include your team ID and all team members’ names to receive course credit.

● Provide a 100-word executive summary, which is a concise overview that encapsulates the main points of your strategy and portfolio performance.

(d) Your Strategy and Portfolio Performance

● Investment strategy: detail the motivation and methods of portfolio construction. Present your strategy in a way that is easy for anyone to understand and follow.

● Investment performance: present the backtesting results, including tables or graphs to show portfolio performance over time, the summary statistics and Sharpe ratio of the portfolio during the sample period, in comparison to the Nasdaq ETF (QQQ).

(e) Risk management

Discuss why you expect the portfolio to continue performing well and what are the risk factors that might impact the portfolio performance in the next 1-5 years.

(f) Summary

Summarize your strategy, portfolio performance, and risk management in less than 150 words.

5. Grading (Max: 20 points)

● Weighting

o Slides (5 pts)

▪ Submit your slides by the deadline (3 pts).

▪ Quality of the slides (up to 2 pts)

o Presentation (5 pts)

▪ Deliver the presentation (3 pts).

▪ Quality of the presentation (up to 2 pts)

o Written report (10 pts)

▪ Instructor assigned grades based on the project quality based on the following elements

✔ Having the required elements (2 pts)

✔ The rationale of your strategy (2 pts)

✔ The quality of research and analysis (2 pts)

✔ The depth of discussion (2 pts)

✔ The overall quality of the report (2 pts)

● Project grades typically represent the following categories:

o 9.5 – 10 (Outstanding); 9.0 – 9.4 (Excellent); 8.5 – 8.9 (Good); 8.0 – 8.4 (Pass)