Quantra – Portfolio Management and Position Sizing using Quantitative Methods

Learn to optimise the size of your trades, or the capital allocation in each of your strategies, and address the position sizing & portfolio management challenges using various quantitative techniques. Learn different position sizing techniques in real-world scenarios, dive into hierarchical risk parity (HRP) and apply the concepts learnt in live markets (paper trade).

• Implement and backtest the position sizing methods such as CPPI, TIPP, and volatility targeting on an index reversal strategy.
• Code and backtest a multi-factor portfolio strategy.
• Apply simulation methods such as Bootstrapping and Monte Carlo.
• Allocate capital using the Kelly criterion, modern portfolio theory, and risk parity.
• Evaluate portfolio performance using Sharpe ratio, maximum drawdown and monthly performance.
• Allocate weights to a portfolio based on a hierarchical risk parity (HRP) approach and learn different portfolio management techniques like IVP, EWP and CLA.
• Paper trade, analyse the strategies and apply them in live markets without any installations or downloads. Also, implement all the concepts learned in capstone projects.

What You’ll Learn In Portfolio Management and Position Sizing using Quantitative Methods?

• Introduction
• Basics of Portfolio Construction
• Modern Portfolio Theory
• Kelly Criterion
• Live Trading on Blueshift
• Live Trading Template
• Risk Parity
• Beta
• Capital Asset Pricing Model (CAPM)
• Fama-French Three- Factor Model
• Fama-French Five-Factor Model
• Factor Investing
• Multi Factor Model
• Portfolio Performance Analysis
• Run Codes Locally on Your Machine
• Capstone Project
• Summary

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Quantra – Portfolio Management and Position Sizing using Quantitative Methods

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