Spring Portfolio Construction Marathon

An invitation to thoroughly study the Portfolio Construction and Risk Management book this spring.

The Portfolio Construction and Risk Management book¹ has now been publicly available for 1.5 months.

I highly appreciate the positive and constructive feedback that I have received so far. Please keep it coming. I will edit the book over the next couple of months before sending it to print.

If you haven't seen it yet, you can find the latest PDF version of the book here. The book's accompanying Python code is available on GitHub².

Watch the video below for a short introduction to what you can expected, and how I suggest studying the book for maximum insight.

If you like the book, I encourage you to share it with others whom it might be relevant for.

Since it proposes a direct alternative to the mainstream variance-based approach, solving many of the fundamental problems, people who are invested in the old theory proactively try to limit your knowledge of these new and better methods.

However, as an investment manager, you have to use the methods that maximize the probability of you being successful.

If you carefully study the methods and investment framework from the book, you will realize that it is better from a strictly logical perspective.

The catch is that it is much harder to implement fast and stable versions of these methods, but that is also a potential source of alpha, because they are not easily available to mom-and-pop investors.

Get the deepest insights on Substack

The Quantamental Investing publication has received many updates in recent months. It contains my deepest perspectives, giving you access to exclusive case studies³ using the investment framework and methods from the Portfolio Construction and Risk Management book.

I highly recommend that you subscribe to this publication if you haven't already.

Note that you can still contribute €100 or more to the Portfolio Construction and Risk Management book’s crowdfunding to receive recognition in the book’s preface and a complimentary one-year paid Substack subscription to this publication.

LinkedIn posts recap

Below is a recap of the most important posts since the last newsletter.

A description of the accompanying Python code to the Portfolio Construction and Risk Management book:

https://www.linkedin.com/posts/antonvorobets_github-fortitudo-techpcrm-book-repository-activity-7292524338287644672-OTtv/

Better backtesting with synthetic market paths:

https://www.linkedin.com/posts/antonvorobets_better-backtesting-activity-7293249004681764865-FYHg/

Introducing exclusive case studies:

https://www.linkedin.com/posts/antonvorobets_introducing-paid-content-activity-7293989584978210818-4XOy/

The most impactful chapters in the Portfolio Construction and Risk Management book:

https://www.linkedin.com/posts/antonvorobets_portfolio-construction-and-risk-management-activity-7295060865542717442-_vYP/

Why many people are still stuck with mean-variance:

https://www.linkedin.com/posts/antonvorobets_investing-markets-riskmanagement-activity-7295785805623549953-ZKw2/

Investment system overview:

https://www.linkedin.com/posts/antonvorobets_1-investment-system-overview-activity-7296526476286267393-G00x/

Why I call it the next generation investment framework:

https://www.linkedin.com/posts/antonvorobets_investing-markets-riskmanagement-activity-7297597291043938304-1KG0/

Issues with the academic peer review process:

https://www.linkedin.com/posts/antonvorobets_you-might-have-witnessed-me-calling-out-issues-activity-7298322607659970560-rqFX/

High-level introduction to Time- and State-Dependent Resampling:

https://www.linkedin.com/posts/antonvorobets_a-high-level-introduction-to-time-and-state-dependent-activity-7299773152094568449-JcLt/

The definition of a good investment risk measure:

https://www.linkedin.com/posts/antonvorobets_what-defines-a-good-investment-risk-measure-activity-7300134482689323008-Dyry/

A high-level presentation of Sequential Entropy Pooling:

https://www.linkedin.com/posts/antonvorobets_sequential-entropy-pooling-activity-7300498615972585472-JkPm/

Investment Analysis module overview:

https://www.linkedin.com/posts/antonvorobets_3-investment-analysis-overview-activity-7301959306722091008-N0Qb/

1. Portfolio Construction and Risk Management Book post: https://antonvorobets.substack.com/p/pcrm-book

2. Portfolio Construction and Risk Management Book’s Python code: https://github.com/fortitudo-tech/pcrm-book

3. Quantamental Investing paid content: https://antonvorobets.substack.com/t/paid-content