1 – MV 12 Transition To Project 03 V1

Congratulations, you’re more than halfway through term one. You’ve done amazingly well to get this far. You’ve learned the basic mechanics of stock markets, the fundamental math and vocabulary that people use to describe markets, and a few types of trading strategies based on basic hypotheses about market behavior. This means that you’re ready for a new exciting challenge. In this project there are two parts, in the first part you’ll build a smart beta portfolio, then calculate the tracking error against its index. In the second part, you will re-balance the portfolio using quadratic programming and calculate its turnover to evaluate the performance. The project will give you practical experience with the idea of smart beta, a popular type of investment strategy that you’ll hear about when discussing quantitative trading, and enable you to practice the math of portfolio optimization, which is something you would do frequently as a quantitative analyst. Best of luck with this project. It’s a good one.

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