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Cross-Sectional Strategies Workshop
Learn how to construct and evaluate a strategy that ranks securities relative to one another at a given point in time.
Prerequisites: Experience with backtesting, portfolio construction, Python, and pandas; familiarity with factor models
- Security ranking and quantile portfolios
- Long-only and long-short construction
- Weighting, exposure control, and rebalancing
- Turnover, transaction costs, and out-of-sample performance