Offered By

The Fundamental of Data-Driven Investment

Sungkyunkwan University

About this Course

In this course, the instructor will discuss the fundamental analysis of investment using R programming. The course will cover investment analysis topics, but at the same time, make you practice it using R programming. This course's focus is to train you to do the elemental analysis for investment management that you might need to do in your job every day. 
Additionally, the study note to do using Python programming will be provided. 

The course is designed with the assumption that most students already have a little bit of knowledge in financial economics. Students are expected to have heard about stocks and bonds and balance sheets, earnings, etc., and know the introductory statistics level, such as mean, median, distribution, regression, etc. 

The instructor will explain the detail of R programming for beginners. It will be an excellent course for you to improve your programming skills. If you are very good at R programming, it will provide you an excellent opportunity to practice again with finance and investment examples. 

Professor Youngju Nielsen creates the course with the assistants of Keonwoo Lim and Jeeun Yuen.
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Coursera Course recommendations before this course for those who are not familiar with basic R programming:
<Getting Started with R>  
https://www.coursera.org/projects/getting-started-with-r
<Introduction to Business Analytics with R> 
https://www.coursera.org/learn/business-analytics-r
<Statistics with Python >
https://www.coursera.org/specializations/statistics-with-python

Flexible deadlines

Reset deadlines in accordance to your schedule.

Shareable Certificate

Earn a Certificate upon completion

100% online

Start instantly and learn at your own schedule.

Beginner Level

Introductory statistics, introductory financial economics, and R programming

Approx. 18 hours to complete

English

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What you will learn

Build an investment factor model using regression methodology
Employ optimization algorithm using R standard library
Explain the portfolio performance

Skills you will gain

Build an investment factor model using regression methodology.
Explain the portfolio performance.
Employ optimization algorithm using R standard library.

Flexible deadlines

Reset deadlines in accordance to your schedule.

Shareable Certificate

Earn a Certificate upon completion

100% online

Start instantly and learn at your own schedule.

Beginner Level

Introductory statistics, introductory financial economics, and R programming

Approx. 18 hours to complete

English

Could your company benefit from training employees on in-demand skills?

Try Coursera for Business

Instructor

Youngju Nielsen

1,830 Learners

2 Courses

Offered by

Sungkyunkwan University

Sungkyunkwan University (SKKU) was established in 1398 as the highest national educational institute in the early years of Joseon Dynasty in Korea. At present with the support of the world-renowned global company Samsung, SKKU is leading the development of higher education in Korea. SKKU actively encourages international collaboration through developing cutting-edge research and educational programs with its global partners.

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Syllabus - What you will learn from this course

Week1

Week 1

6 hours to complete

Analyzing Past Returns and Forecasting Future Returns

6 hours to complete

6 videos (Total 79 min), 10 readings, 2 quizzes

6 videos

Course Introduction2mWhat is Quantitative Investing?7mDescription of the Stock Price Data15m How to Analyze Asset Returns19mWhat Do Determine Future Investment Returns?17mForecasting Investment Returns with Factors17m

10 readings

Python Script for Lecture 230m[Optional] R Script for Lecture 2DIS DataPython Script for Lecture 330m[Optional] R Script for Lecture 3Python Script for Lecture 430m[Optional] R Script for Lecture 4SP500 DataPython Script for Lecture 530m[Optional] R Script for Lecture 5

2 practice exercises

Checking Your Basic R Knowledge1h 30mPractice Project Week 11h 30m

Week2

Week 2

5 hours to complete

Understanding the Risk Using Factors

First of all, you will learn how you can gauge investment strategy using backtesting.

You learned the first component of investment strategy, returns, in the first week. You will expand your study to assessing investment risks. To understand stocks' risks, you will calculate covariance and correlation matrix using historical time-series stock return data. You will extend this to market factor and three-factor models to understand the risk you are facing with your investment. Finally, you will calculate factor exposure using a 3-factor model from week 2 and separate common factor risk and idiosyncratic risk of the stock.

5 hours to complete

5 videos (Total 68 min), 9 readings, 1 quiz

5 videos

How to Evaluate Investment Strategies?13mHow to Assess the Risk?16mAnalyzing Market Risk Using CAPM12mHow to Create a 3 Factor Model with the Tidyverse Package13mWhat is Risk Factor Analysis and Idiosyncratic Risk Analysis?11m

9 readings

Python Script for Lecture 630m[Optional] R Script for Lecture 6Python Script for Lecture 730m[Optional] R Script for Lecture 7Python Script for Lecture 830m[Optional] R Script for Lecture 8Python Script for Lecture 9-1030m[Optional] R Script for Lecture 9[Optional] R Script for Lecture 10

1 practice exercise

Practice Project Week 21h 30m

Week3

Week 3

3 hours to complete

Portfolio Analysis and Optimization

3 hours to complete

3 videos (Total 30 min), 6 readings, 1 quiz

3 videos

How to Get Data to Make a Portfolio of Multiple Assets10mHow to preparing Data for Portfolio Optimization7mHow to Create an Optimized Portfolio using Historical Data12m

6 readings

Python Script for Lecture 1130m[Optional] R Script for Lecture 11Python Script for Lecture 1230m[Optional] R Script for Lecture 12Python Script for Lecture 1330m[Optional] R Script for Lecture 13

1 practice exercise

Practice Project Week 31h 30m

Week4

Week 4

4 hours to complete

Performance Analysis

4 hours to complete

5 videos (Total 54 min), 10 readings, 1 quiz

5 videos

Drawing and Comparing Multiple Portfolios9mHow to Summarize the Result from Optimization9mHow to Add Constraints to Portfolio Optimization11mEvaluate Asset Performance Using PerformanceAnalytics Package10mHow to Compare Constrained and Unconstrained Portfolios12m

10 readings

[Optional] R Script for Lecture 14SP500MonthlyExcel DataPython Script for Lecture 1530m[Optional] R Script for Lecture 15Python Script for Lecture 1630m[Optional] R Script for Lecture 16Python Script for Lecture 1730m[Optional] R Script for Lecture 17Python Script for Lecture 1830m[Optional] R Script for Lecture 18

1 practice exercise

Final Project1h 30m

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The Fundamental of Data-Driven Investment

The Fundamental of Data-Driven Investment

About this Course

What you will learn

Skills you will gain