Quantitative Analysis and Portfolio Optimization - Phase ll

Candidate will focus on factor weighing and portfolio construction. Evaluating how to combine the factors, understanding the various portfolio options and the impact of the specific components of the optimization process are essential to creating a robust portfolio construction process. This may include, but is not limited to, back-testing minimum variance portfolios for the potential portfolio construction options. Several iterations may be necessary to determine the most reasonable parameters for these portfolios. Establishing these Minimum Variance portfolio return series as a baseline to test the valued added for the return factors is essential. Testing various methodologies for conditioning the covariance matrix will also be tested at this stage.