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Risk Management and Portfolio Construction
Ang Petrozzino
posted Sep 20, 2018
Tools and Tips Q Updates Portfolio Optimization Risk Model

In our most recent video, “Risk Management and Portfolio Construction” Quantopian data scientist Max Margenot goes over the different ways in which you can use risk management to help you better understand your portfolio.

Max reviews the process of creating a risk factor model, what to look for when creating a risk factor, and what our risk model has to offer. He also reviews the risk factor constraints in our daily contest.

Learn more by subscribing to our Quantopian Channel to access all of our videos.

As always, if there are any topics you would like us to focus on for future videos, please comment below or send us a quick note at [email protected].

4 responses
Joakim Arvidsson (Cream Mongoose)
Sep 21, 2018

Another great one - thank you!

I'd love to see a short on "Factor Quantile Turnover & Rank Autocorrelation," how they are possibly related (causational(?) and negatively correlated?) to each other, and why they are important in alpha factor research.

It probably overlaps with other videos you've already done, but personally I'm just slowly starting to get my head around this, thanks to the Q Community, so another 'short' on this subject would certainly help I think.

Kelly Elmstrom
Sep 21, 2018

Thanks Joakim! We will add your request to our video queue. Stay tuned!

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

oki nakamura
Dec 25, 2018

This is horrible. All the guy does is wave his hands. When we talk about quantifying things, especially in risk modelling, one must have the model written out so that others can read it. So, where's the beef?

Joakim Arvidsson (Cream Mongoose)
Dec 25, 2018

Have a look at this lecture and this thread.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.