Quant Portfolio Builder

Build institutional-grade quantitative portfolios step by step. Each step builds on the previous one, ensuring a systematic and rigorous approach to portfolio construction.

Steps

Step 0: Portfolio Objective

Define your portfolio mandate: return objective, risk tolerance, investment horizon, and constraints

Portfolio Objective

Define your portfolio mandate. This is the foundation for all subsequent decisions.

Return Objective

Target a specific return regardless of market

Risk Tolerance

Volatility Target (Annualized %)

Maximum Drawdown (%)

Conditional VaR (CVaR) at 95% (%)

Investment Horizon

Asset Universe

Constraints

Maximum Position Size (%)

Turnover Limit (% per period)

Leverage Allowed

Long-Only (Disable for Long-Short)

Important: Everything later (factors, weights, rebalancing) depends on these objectives. Take time to define them carefully.