Quant 101 Outline: Quantitative Portfolio Management

1. About Quant 101 - Review a summary of the series below and see if it is a fit for you.
2. The data set - Download the one data file used throughout the series. No sign-up is required.
3. Outline - Review and launch pages and videos straight from this page.
4. Get started - Get your version of Excel fired up and join us because Quant jobs are in high demand.
5. Next up: Introduction - See the series overview in the next episode, or hit Back to review our 7 Chapters.

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About Quant 101 - Financial Modeling Tutorials

Quant 101 is a financial modeling series uniquely designed to help aspiring Quants, risk managers, financial engineers and portfolio managers.

Here we cover the concepts of quantitative equity portfolio management by walking through the steps in a spreadsheet. Skills learned here can then be transitioned to building a scalable process in a programming language, like Python.

This series offers a way to master Excel through hands-on financial modeling examples so you can nail down verifiabile skills. In fact, being able to speak about what you built in a spreadsheet here will help you at job interview time.

Getting Started

I have used this content to teach a course at the University level, so there is a lot of detail and you will learn a lot if you stick with it.

Verifiable Excel skills

Learn and reinforce these Excel skills:

• using statistical functions
• running time-series regressions
• performing array calculations
• naming ranges of data
• inverting and multiplying scalars, vectors and matrices
• charting portfolios and distributions
• interpreting Data Analysis regression output
• optimizing with the Excel Solver function

In the end, if you are self-starter, this will help you achieve your career aspirations. We're happy to have you. Good luck!

The data set

The following data set is a 61-row by 7-column tab-delimited text file including returns on four stocks, an index and US T-bills for a 5-year period.

• A free data set: returns.txt

Hit left click to open a new window to inspect, or right click to save.

Quant 101 Outline: Quantitative Portfolio Management

Videos can be accessed individually below by clicking the symbol (opens a new browser tab or the YouTube app on mobile devices). Web pages are accessed with this symbol . Content is available when the link is active. Subscribe and follow for notifications.

Video tutorials can also be accessed from the Quant 101 Playlist on YouTube.

Chapter 1 - Getting Started

1.     Learn Quantitative Investing in Excel
2.     Quant 101 Outline (this page, no video)
3.     An Introduction to Managing Stock Portfolios in Excel
4.     System Setup: Excel Data Analysis Toolpak and Solver Add-In

Chapter 2 - Stock Returns, Distributions and History

5.     Stock return calculations: arithmetic and geometric
6.     Calculate monthly returns on stocks in Excel
7.     Stock return frequency distributions and histograms
8.     Stock market history and investment strategies

Chapter 3 - Stock Risk, Portfolios & Theory

9.     Four essential stock risk measures
10.     Calculate portfolio return and turnover
11.     Calculate portfolio risk
12.     Create a covariance matrix and correlation matrix
13.     Charting portfolios on a risk and return plot
14.     Ace your Portfolio Theory exam

Chapter 4 - Statistical Concepts

15.     Correlation vs regression
16.     Stock correlation analysis and R-squared
17.     Single-variable linear regression
18.     Regression-based portfolio performance

Chapter 5 - Portfolio Algebra with Arrays

19.     Time series modeling
20.     Introduction to linear algebra
21.     Linear algebra operations
22.     Portfolio algebra

Chapter 6 - CAPM and Expected Return and Risk

23.     The CAPM Model and expected returns
24.     Regression using LINEST and INDEX
25.     Expected return and the Security Market Line
26.     Risk decomposition and risk contribution
27.     Portfolio return and risk decomposition
28.     Regression statistics SSE, SSR, SST, standard error and more

Chapter 7 - Portfolio Optimization

29.     The Security Characteristic Line
30.     The Single-Index Model
31.     Portfolio optimization with Excel Solver

A helpful hint

The tutorials were designed to be watched consecutively; however, many people find the content through Search Engines and YouTube search. So some effort was taken to make the financial modeling examples stand-alone and searchable. So going out of order is completely up to you.

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What's Next?

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