Portfolio Strategies is a powerful analytics tool that helps you to combine single/multiple signals to build portfolios and trading strategies, in a setting that extracts the most alpha under advanced risk and allocation controls.
Under the hood, it runs a mean-variance optimization routine with the given constraints and builds a portfolio allocation at each configured rebalance date. The signal values act as a proxy for expected return, and a return covariance matrix models the expected volatilities. The details of the mathematical formulation of the optimization problem are described in the FAQ.
Updated about 1 year ago