You are starting a new job as a Business Analyst at AQR Asset Management, a global investment
management firm focused on quantitative investment strategies. Your first task is to analyse the
performance of US-listed securities to help the firm manage their portfolio. You have several datasets
on US securities (stocks and ETFs), and you should help your employer with the following tasks:
(1) Exploratory data analysis, visualisations, descriptive statistics
Examine the dataset Stock_data_part1.xlsx. Characterise the performance of US securities between
February 14, 2020, and March 20, 2020, and compare their performance to a similar period not affected
by the COVID-19 pandemic. Justify how you choose the non-COVID period to make a fair comparison.
Based on your analysis, comment on the effect of the COVID-19 pandemic on securities’ performance.
In your analysis, you should consider the following:
? Which variables to analyse? Consider the following: returns, volatility, Sharpe ratio, bid-ask
spread, dollar volume, number of trades. You should do your own research and also use the
course content to understand these variables, and potentially add others, which could be helpful
for understanding the market dynamics during the COVID-19 pandemic and beyond it.
? What is the data structure (unit of observation) that you need for this analysis? (Cross-sectional?
Time series? Panel?) How to transform your data into the units of observation that you need?
? How can you add value with your analysis? Can you offer relevant comparisons of returns or
other variables across different groups (e.g., COVID vs non-COVID period, by industry, by
company size, ETFs vs stocks etc.)?
Use your own judgement to select the relevant descriptive statistics and visualisations. However, at a
minimum, you should consider the following:
A table with descriptive statistics (mean, median, 25
th
percentile, 75
th
percentile, standard