All Weather Investing Via Quantitative Modelling In Excel

Tags: Quantitative Finance , Financial Markets

Master The Principles of A Resilient Investing Strategy using Stocks & Bonds ETF called Risk Parity Used In Hedge Funds

Last updated 2022-01-10 | 5

- Learn about quantitative Investing & how it is different from conventional methods of investing
- Master the science and art of diversification to build an all-weather portfolio that remains robust under harsh market conditions
- Know the pitfalls of buying and holding a pure stock portfolio

What you'll learn

Learn about quantitative Investing & how it is different from conventional methods of investing

Master the science and art of diversification to build an all-weather portfolio that remains robust under harsh market conditions

Know the pitfalls of buying and holding a pure stock portfolio

Understand why traditional asset allocation methods such as 50/50 or 60/40 are not ideal

Understand the concept of risk and how to look at investments from the perspective of risk

Know the criteria to choose the right assets in portfolio construction

Master an established quantitative method used in hedge funds called Risk Parity to allocate capital across different assets

Understand how Risk Parity works and why it is adaptive to market conditions

Know both the strengths and weaknesses in Risk Parity

Use critical Excel lookup

logic

math and statistical functions required for modelling in this course.

Understand the intuition

math and know how to implement financial concepts such as Returns

Correlation

Risk

Marginal Risk Contribution

Know how to model a buy and hold portfolio

Know what is rebalancing and how to model a portfolio with periodic rebalancing

Know how to perform portfolio weights optimization

Know what are the transaction costs involved and how to incorporate them into the model

Understand the concept of leverage and how we can use it to boost our returns

Learn how to incorporate leverage and borrowing costs into the model

Learn the concept and math behind key investment performance metrics such as Sharpe Ratio

Know how to operate the Risk Parity model

* Requirements

* The strategy taught in this course is applied to the US market
* A keen learning attitude with an open mind
* A basic knowledge in math and statistics is preferable
* but not compulsory
* A basic knowledge in Excel is preferable
* but not compulsory

Description

Learn about quantitative Investing & how it is different from conventional methods of investing
Master the science and art of diversification to build an all-weather portfolio that remains robust under harsh market conditions
Know the pitfalls of buying and holding a pure stock portfolio
Understand why traditional asset allocation methods such as 50/50 or 60/40 are not ideal
Understand the concept of risk and how to look at investments from the perspective of risk
Know the criteria to choose the right assets in portfolio construction
Master an established quantitative method used in hedge funds called Risk Parity to allocate capital across different assets
Understand how Risk Parity works and why it is adaptive to market conditions
Know both the strengths and weaknesses in Risk Parity
Use critical Excel lookup, logic, math and statistical functions required for modelling in this course.
Understand the intuition, math and know how to implement financial concepts such as Returns, Correlation, Risk, Marginal Risk Contribution
Know how to model a buy and hold portfolio
Know what is rebalancing and how to model a portfolio with periodic rebalancing
Know how to perform portfolio weights optimization
Know what are the transaction costs involved and how to incorporate them into the model
Understand the concept of leverage and how we can use it to boost our returns
Learn how to incorporate leverage and borrowing costs into the model
Learn the concept and math behind key investment performance metrics such as Sharpe Ratio
Know how to operate the Risk Parity model

Course content

7 sections • 57 lectures

Introduction 7 lectures

Welcome from Instructor Preview 03:58

A short welcome video from, Eng Guan (E.G.), the main instructor for this course

All-Weather Investing Simple Introductory Concept Video Preview 03:21

A simple video explaining in layman terms what an all-weather portfolio is about. See at a high level why we adopt it, how we do it, and why we do it.

Course Overview Preview 06:03

A high level outline of the course.

Disclaimer Preview 00:27

Please read the disclaimer from this course before proceeding.

Course Support and Free Resources Preview 00:54

Information about course support and others.

What Is The Quantitative Approach To Investing Preview 09:06

You will learn what quantitative investing is at a high level and how it is different from convention ways of investing.

How Safe Is Buying And Holding Stocks? Preview 08:54

You will learn the pitfalls of only buying and holding stocks as your investment strategy.

Concept of All-Weather Investing 5 lectures

What Is All-Weather Investing? Preview 10:03

You will gain an understanding of what is meant by all-weather investing, see how resilient such a portfolio is during times of crisis, and know the main questions to address to build such a portfolio. After this, you will be able to appreciate why an all-weather approach is a better way to invest over the long run.

How to Choose Assets For Your Investment Portfolio? Preview 18:22

You will know what are the criteria to look out for to pick the right assets for your investment portfolio.

How To Allocate Capital Across The Assets Preview 18:56

You will learn why traditional methods of allocation is not the best way to approach investment. You will also understand why we should look at things from the perspective of risk instead. And you will know conceptually what is Risk Parity and why it works better.

What Are The Strengths and Weaknesses of Risk Parity? Preview 07:04

You will learn both sides of the strategy, its strengths and its weaknesses.

How to Enhance Your Returns? Preview 05:30

You will learn about the use of leverage and how it can help to boost the returns.

Excel Crash Course 6 lectures

Important Notes Preview 00:25

Information on how to approach this section.

Basic Math Operators And How To Reference Cells Preview 06:34

You will learn the basic math operators and how to reference other cells in Excel.

Manipulating Dates and Catching Errors Preview 08:04

You will learn how to use the following functions:

1. MONTH()

2. YEAR()

3. TODAY()

4. DATEVALUE()

5. ISERROR()

How To Look Up Data Preview 15:42

You will learn how to use the following functions:

1. VLOOKUP()

2. HLOOKUP()

3. LARGE()

Logic Functions Preview 08:49

You will learn how to use the following functions:

1. IF()

2. AND()

3. OR()

Mathematical Functions Preview 17:09

You will learn how to use the following functions:

1. AVERAGE()

2. SUM()

3. PRODUCT()

4. SUMPRODUCT()

5. SUMIF()

6. MAX()

7. MIN()

8. COUNT()

9. COUNTIF()

10. ROUNDDOWN()

Financial Mathematics 8 lectures

Important Notes Preview 00:24

Information on how to approach this section. Please read before proceeding.

Working With Returns Preview 28:10

You will learn the intuition, math and excel implementation of the following:

1. Simple Returns

2. Compounding Returns

3. Net Asset Value (NAV)

4. Compound Annual Growth Rate (CAGR)

5. Log Returns

Correlation Preview 13:59

You will learn the intuition, math and excel implementation of an important statistical measure called correlation which measures how one asset move relative to another. This is a useful measure that can help us identify suitable candidates that can complement each other to bring out maximum diversification benefits.

Single Asset Risk Preview 16:31

You will learn one of the most widely used risk measure in the financial markets - Volatility for a single asset. You will know what it means, how to calculate it, and how to implement in on Excel.

Portfolio Risk Preview 12:57

You will learn how volatility can be calculated and implemented in Excel for a portfolio with multiple assets. You will also know how correlation between the different assets affects the portfolio volatility.

Marginal Risk Contribution Preview 12:25

You will learn how to break down the portfolio risk into the contributions coming from its component assets.

Portfolio Weight Optimization Preview 17:49

You will learn how to use Excel Solver to optimize the weights of a portfolio.

For Mac users: please read the pdf file on important note on Solver

Investment Performance Metric Preview 08:56

You will learn 2 useful investment performance metrics Sharpe Ratio and Maximum Drawdown, how to calculate and implement them on Excel.

Building The All-Weather Risk Parity Model 22 lectures

Walk-Through of The Risk Parity Strategy Preview 06:20

You will learn the about the Risk Parity strategy we are building including the chosen assets and optimization parameters.

Walk-Through of The Risk Parity Excel Spreadsheet Preview 04:57

You will see how the Risk Parity Excel spreadsheet looks like, how it is structured, and what information is inside.

Important Note Preview 01:05

Important note on how to approach the remaining lectures of this section. Please read before proceeding.

Getting The Price Data Preview 14:25

You will learn how to bulk download price data from Yahoo Finance using a free Excel tool and populate them onto the Risk Parity file. Note the tool only works on the Windows platform. Mac users can make use of the data already downloaded on the excel tool file at this point in time. In lecture 49, we will show how Mac users can download the price data in bulk from another web-based source.

Getting The Price Data (Manual Approach) Preview 13:08

You will learn how you can go to Yahoo Finance website to manually download the price data and put them onto the Risk Parity file.

Setting Up A Basic Portfolio Structure Preview 10:53

You will learn how to model a basic portfolio structure on the spreadsheet to compute daily portfolio returns.

Implementing A Buy and Hold Portfolio Preview 07:42

You will learn how to model a buy and hold portfolio

Building In Monthly Rebalancing Preview 06:24

You will learn how to model a portfolio that is rebalanced at the end of each month back to equal weights.

Calculating The Volatility Preview 02:40

You will learn how to calculate the annualized volatility.

Calculating The Correlations Preview 05:20

You will learn how to calculate the correlations between the ETFs.

Calculating The Marginal Risk Contributions Preview 10:41

You will learn how to calculate the Marginal Risk Contributions for each ETF.

Optimizing For Risk Parity Weights Preview 14:39

You will learn how to optimize the weights based on risk parity principles.

Incorporating Transaction Costs Preview 14:36

You will learn how to incorporate transaction costs into the model.

Executing on Market Open Preview 11:23

You will learn how to adjust the model to take into account execution on the market open of the following trading day instead of at the market close of the current trading day.

Performance Analytics - Aggregating Returns Preview 11:55

You will learn how to aggregate the daily returns into monthly returns.

Performance Analytics - Calculating The Monthly NAV Preview 01:41

You will learn how to calculate monthly Net Asset Value (NAV)

Performance Analytics - Tracking The DrawDown Preview 07:27

You will learn how to track the month by month drawdown.

Performance Analytics - Populating The Month By Month Performance Table Preview 05:44

You will learn how to populate the month by month performance table.

Performance Analytics -Populating The Performance Metric Preview 10:08

You will learn how to calculate and populate the performance metric summary table.

Incorporating Leverage Preview 11:13

You will learn how to incorporate leverage and its associated borrowing costs into the model.

Putting In The Operating Dashboard Preview 10:42

You will learn how to build up the operating dashboard which shows you the critical information such as the percentage allocation to each asset, the amount of capital to be allocated to each, and how many shares you should be holding as of rebalancing.

The Complete Foundation Risk Parity Model Preview 00:08

This is the completed Risk Parity model.

Risk Parity Operations 5 lectures

Important Note Preview 00:19

Adding Solver Reference in VBA

Operating And Updating The Model Preview 07:30

You will learn how to update the risk parity file going forward and how to make use of the results for investing.

Operating And Updating The Model (Mac) Preview 09:19

You will learn how to update the risk parity file for Mac users going forward and how to make use of the results for investing.

Additional Note For Updating When You Cross Into A New Year Preview 00:20

Updating the Loan Rate and Avg ON Libor table

Exercise in Daily Operation of Model

This exercise is to help you ensure that you have built the model correctly and that you are able to run it daily and get the correct output. To help you check against your model output, you can subscribe to a one month free trial of AllQuant Portfolio Signal service.

Bonus : VBA Scripts 4 lectures

Data Copying from Multiple Stock Quote Downloader Preview 09:46

You will gain an appreciation of how VBA scripts are used to automate the populating of data onto the risk parity file after downloading it using the free Excel tool (for windows users).

Data Copying from Jason Strimpel Download Preview 19:26

You will gain an appreciation of how VBA scripts are used to automate the populating of data onto the risk parity file after downloading it using a web-based tool (for Mac users).