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In the course we’ll cover around a dozen or so pre-made portfolios that you can start off with. Additional portfolios and trading strategy ideas will be added over time, as our community continues to grow and share ideas.
Course contents
Introduction
- Welcome to the course
- Strategic versus tactical asset allocation
- Introduction to bonds
- Asset classes
- Hedge funds
- How data can trick you
Returns
- Getting historical data
- Linear versus log scale
- Arithmetic and log price returns
- Cumulative arithmetic and log price returns
- Converting arithmetic and log returns
- Arithmetic and geometric mean
- Wealth index
- Performance charts
Measuring risk
- Variance and standard deviation
- The portfolio effect
- Sharpe ratio, Sortino ratio, Calmar Ratio, Martin Ratio
- Alpha and Beta
- Correlation and R Squared
- Treynor Ratio and Information Ratio
- Value-At-Risk and Expected Shortfall
Factor models
- Capital Asset Pricing Model (CAPM)
- Fama French 3 factor model
Permanent portfolios
- Equal and Value Weighting portfolios
- Calculating portfolio returns
- Review of 5 different permanent portfolios
Moving average filters
- M.A.F. – single asset
- M.A.F. – all assets in a portfolio
Modern Portfolio Theory
- Introduction to MPT
- Correlation and the correlation matrix
- Efficient frontier
- Minimum variance portfolio and mean-variance efficient portfolios
- Rebalancing
- Return vs risk graph
- Capital Allocation Line, and margin effect on returns
- Kelly Criterion – optimal f
- Inverse variance portfolio
- Risk parity portfolio
Dual Momentum
- Review of 6 different dual momentum portfolios
Other portfolios
- Review of two Adaptive Allocation portfolios
- Review of two Core-Satellite portfolios
