For the Fall 2021 Intermediate Investments (COMM 4710) class with Prof. Steven Baker at UVA, we had to create and backtest an Active Management strategy for the Harvard Management Company (2010) case. I explored a portfolio optimization strategy based on Google Trends data. This repository contains the code and data used to backtest the strategy, along with a short memo summarizing the strategy performance.
- Strategy analysis memo available in memo.pdf.
- Documented code snippets available in GitHub Markdown backtest.md.
- Full code is available in backtest.Rmd.