Evaluate performance of the portfolio between 1st January 2021 and 30th June 2021. Performance should be evaluated on a monetary basis as well as on a return basis, assuming the initial portfolio value is £1,000,000.

Financial Solutions for Business Bloomberg

Based on stock price data from FTSE index, construct a zero-beta portfolio consisting of high and low beta stocks. You are required to:

Demonstrate implementation of the model in R. This includes showing high beta as well as low beta stocks in the portfolio; explaining rules used for stock selection; building accounting functions that can automatically report daily VaR and various balance sheet items relate to financial reporting.

Evaluate performance of the portfolio between 1st January 2021 and 30th June 2021. Performance should be evaluated on a monetary basis as well as on a return basis, assuming the initial portfolio value is £1,000,000.

Performance measures like Sharpe ratios, VaR should also be discussed. Performance of the portfolio should also be compared against FTSE100 during the same period.