Advanced Quantitative Equity Portfolio Management System

Abstract

Portfolio management is both complex and simple. It involves many steps and processes that leads to intended results: delivering excess returns within some risk budget. Each steps and processes is important and one needs to look at and improve each sub-system. Such Quantitative Equity Portfolio Management Systems require an extensive factor database, alpha forecasting system, risk modeling system, portfolio construction/optimization, risk monitoring, performance attribution, transaction cost modelling, and backtesting.