Download Trading Dominion - Portfolio Investing

Course contents

Introduction

  • Welcome to the course
  • Strategic versus tactical asset allocation
  • Introduction to bonds
  • Asset classes
  • Hedge funds
  • How data can trick you

Returns

  • Getting historical data
  • Linear versus log scale
  • Arithmetic and log price returns
  • Cumulative arithmetic and log price returns
  • Converting arithmetic and log returns
  • Arithmetic and geometric mean
  • Wealth index
  • Performance charts

Measuring risk

  • Variance and standard deviation
  • The portfolio effect
  • Sharpe ratio, Sortino ratio, Calmar Ratio, Martin Ratio
  • Alpha and Beta
  • Correlation and R Squared
  • Treynor Ratio and Information Ratio
  • Value-At-Risk and Expected Shortfall

Factor models

  • Capital Asset Pricing Model (CAPM)
  • Fama French 3 factor model

Permanent portfolios

  • Equal and Value Weighting portfolios
  • Calculating portfolio returns
  • Review of 5 different permanent portfolios

Moving average filters

  • M.A.F. – single asset
  • M.A.F. – all assets in a portfolio

Modern Portfolio Theory

  • Introduction to MPT
  • Correlation and the correlation matrix
  • Efficient frontier
  • Minimum variance portfolio and mean-variance efficient portfolios
  • Rebalancing
  • Return vs risk graph
  • Capital Allocation Line, and margin effect on returns
  • Kelly Criterion – optimal f
  • Inverse variance portfolio
  • Risk parity portfolio

Dual Momentum

  • Review of 6 different dual momentum portfolios

Other portfolios

  • Review of two Adaptive Allocation portfolios
  • Review of two Core-Satellite portfolios

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