Fortitudo Technologies

Anton Vorobets (@antonvorobets) Time in the market beats timing the market! This has certainly been my experience with gold investing. Occasionally, we might make “perfect trades”, where we sell at the top or buy at the bottom. I...

Time in the market beats timing the market!

This has certainly been my experience with gold investing.

I think gold serves as an important diversifier in a multi-asset portfolio, being a non-financial asset:

substack.com/profile/1707...

#quant #quantsky #finance #markets #gold #investing

Join Anton Vorobets’ subscriber chat Subscribe to Quantamental Investing and join the conversation.

An update to my Substack chat!

I have enabled the chat for all subscribers, but only paid subscribers can start new threads and ask questions about the scientific content from.

Free subscribers can ask questions in the practical Q&A thread and see replies.

antonvorobets.substack.com/chat

#quant

A necessary condition for beating the market is doing something differently than the majority.

Even if you disregard the lack of empirical support, how do you evaluate CAPM, Black-Litterman, and mean-variance on this metric? :-)

#quant #quantsky #finance #investing

How challenging is CVaR optimization? This article presents the challenges of solving fully general CVaR optimization problems in Python.

Most investment quants know that CVaR optimization problems can be solved using linear programming.

But how fast and stable can we solve these problems for fully general distributions, derivative portfolios, transaction costs, and absolute leverage constraints?

#quant #quantsky #finance #python

Some people accuse me of “promotion” in my articles and the Portfolio Construction and Risk Management book.

But wouldn’t it be strange if I recommended one thing in my scientific work and did something else in practice?

I am not a mean-variance proponent after all :-)

#quant #finance #quantsky

Course Complete This is the October edition of the Portfolio Construction newsletter, giving an overview of the Applied Quantitative Investment Management lectures.

October edition of the Portfolio Construction newsletter.

This edition gives an overview of the Applied Quantitative Investment Management lectures in addition to the popular posts recap since the last newsletter.

Make sure to check it out :-)

#quant #quantsky #finance #investing #markets #python

YouTube video by QuantEnthusiasts Quant Conversations with Anton Vorobets on Portfolio Construction, Risk, and the future of quant

Yesterday, I had the please of being interview by Johannes Meyer from Quant Enthusiasts.

We talk about the future of portfolio construction, risk management, and investment technology.

Watch the interview here: www.youtube.com/watch?v=YYGf...

#quant #quantsky #finance #markets #python #investing

Chapter 5 Market Views and Stress Testing | Anton Vorobets I am very happy with the feedback that I have received on Chapter 5 about fully general market views and stress testing. This chapter contains a comprehensive presentation of Sequential Entropy Pooli...

I am very happy with the feedback that I have received on Chapter 5 about fully general market views and stress testing.

This chapter contains a comprehensive presentation of Sequential Entropy Pooling (SeqEP) and its various use cases.

www.linkedin.com/posts/antonv...

#quant #quantsky #finance

Lecture 12: Tail Risk Hedging and Analysis This lecture goes through Chapters 7 and 8 from the Portfolio Construction and Risk Management book, presenting tail risk hedging and analysis.

Lecture about tail risk hedging and analysis.

This lecture covers sophisticated tail risk hedging, stress testing, and common pitfalls to avoid.

It also introduces the foundations of risk analysis, including marginal risk contributions and risk-adjusted perspectives.

#quant #quantsky #finance

Portfolio Construction and Risk Management Book This post contains the latest version of the Portfolio Construction and Risk Management book by Anton Vorobets.

Celebrating the Portfolio Construction and Risk Management book!

I am happy that the post containing the latest version of the book has generated 200 subscribers so far.

This is probably the most valuable post that I will ever share, so if you haven’t seen it yet, make sure to check it out

#quant

Anton Vorobets (@antonvorobets) An issue with drawdown portfolio optimization. Drawdowns are conceptually intuitive and nice to visualize for general investment risk insights. However, when it comes to portfolio optimization, draw...

Issue with drawdown portfolio optimization

Drawdowns are conceptually intuitive and nice to visualize for general investment risk insight

Most people probably worry about the maximum loss over the holding period and think about drawdowns in that way:

substack.com/profile/1707...

#quant #quantsky

Lecture 11: Derivatives Portfolio Optimization and Rebalancing Watch Now | This lecture finalizes Chapter 6 from the Portfolio Construction and Risk Management book, presenting derivatives portfolio optimization and intelligent rebalancing.

Lecture on derivatives portfolio optimization with fully general parameter uncertainty.

This lecture presents how you can introduce consistent underlying and risk factor parameter uncertainty into derivatives P&L and incorporate this into tail risk portfolio optimization.

#quant #quantsky #finance

Anton Vorobets (@antonvorobets) How to combine a Markov Regime Switching model with resampling for high-dimensional investment simulation. Regime switching models are popular for thinking about the market state, which affects the c...

How to combine a Markov Regime Switching model with resampling for high-dimensional investment simulation.

Check out the description and find the article link here: substack.com/@antonvorobe...

#quant #quantsky #finance #python #markets #investing #simulation

Anton Vorobets (@antonvorobets) Backtest overfitting only matters if your foundation is solid. There is a lot of focus on backtest overfitting, because it is an easy mistake to make and requires great attention to detail to avoid. ...

Some important perspectives on backtest overfitting:

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #data #investing #investment #overfitting

Lecture 10: Resampled Portfolio Optimization Watch now | This lecture goes through Section 6.4 from the Portfolio Construction and Risk Management book, presenting Resampled Portfolio Stacking.

This lecture presents portfolio optimization with fully general parameter uncertainty.

The lecture also includes many Python case study walkthroughs. Make sure to check it out.

#quant #quantsky #finance #markets #python #investing #portfolio #optimization #data #investment

Anton Vorobets (@antonvorobets) Update on the physical version of the Portfolio Construction and Risk Management book. I have received questions about when it will be possible to buy the book physically. While I appreciate the int...

Update on the physical version of the Portfolio Construction and Risk Management book.

The preface gives a good summary of what you can expect. Make sure to check it out.

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #portfoliocontruction #riskmanagement #investing

Anton Vorobets (@antonvorobets) Exposing the “investment risk measure does not matter” trend. Recently, there have been several examples of people showing that there is a high correlation between the individual standalone investmen...

Exposing the “investment risk measure does not matter” trend.

substack.com/profile/1707...

#quant #quantsky #finance #markets #python #investing #investment

Lecture 9: Portfolio Optimization This lecture goes through Sections 6.1-6.3 from the Portfolio Construction and Risk Management book, introducing portfolio optimization.

This lecture introduces advanced portfolio optimization, including sophisticated portfolio construction perspectives.

If you are fairly new to these topics, the lecture will significantly accelerate your understanding.

#quant #quantsky #finance #markets #python #investing #investment #risk #cvar

Portfolio Optimization September 2025 edition of the Portfolio Construction newsletter about tail risk portfolio optimization with parameter uncertainty and derivatives.

The September edition of the Portfolio Construction newsletter presents the total portfolio risk optimization problem.

You will find a lot of supporting material, including a book, videos and Python code. There is also a post recap since the last newsletter. Check it out.

#quant #quantsky #finance

Lecture 8: Causal Views and Stress Testing This lecture goes through Sections 5.3 and 5.4 from the Portfolio Construction and Risk Management book, presenting causal views and stress testing.

A lecture about causal views and stress testing for fully general investment distribution.

This lecture finalizes Chapter 5 from the Portfolio Construction and Risk Management book, adding a Bayesian network layer on top of our favorite views and stress testing method.

#quant #quantsky #finance

Anton Vorobets (@antonvorobets) Is the Total Portfolio Approach (TPA) just multi-asset investment management done right? Recently, I have been reading about the Total Portfolio Approach (TPA), which seems to be a new hot term for h...

Join the dialogue about Total Portfolio Approach (TPA) and traditional multi-asset investment management:

substack.com/@antonvorobe...

#quant #quantsky #finance #markets #investing #investment #assetallocation #tpa #totalportfolioapproach

Lecture 7: Sequential Entropy Pooling This lecture goes through Section 5.2 from Portfolio Construction and Risk Management book, presenting Sequential Entropy Pooling (SeqEP).

How to unlock the full power of market views and stress testing with fully general distributions.

This lecture presents everything I know about Sequential Entropy Pooling (SeqEP).

This is exciting stuff. Make sure to check it out.

#quant #quantsky #finance #markets #investing #python #investment

12. The Normal Distribution Myth This video goes through example 12 from the fortitudo.tech Python package and the accompanying SSRN article.

The normal return distribution assumption is made on many occasions in academic finance.

However, most people with just a bit of practical investment experience understand that the assumption is incorrect.

Watch the video below for formal tests and more perspectives.

#quant #quantsky #finance

Anton Vorobets (@antonvorobets) A brilliant explanation of the anti-scientific tendencies in academic finance and economics. I don’t know who this person is, but this is a very accurate description of the fundamental issues with th...

A brilliant explanation of the anti-scientific tendencies in academic finance and economics.

I don’t know who this person is, but this is a very accurate description of the fundamental issues with the current mainstream finance and economics theories.

substack.com/@antonvorobe...

#quant #quantsky

Lecture 6: Entropy Pooling This lecture goes through Section 5.1 from Portfolio Construction and Risk Management book, introducing Entropy Pooling.

This video gives a detailed presentation of the original Entropy Pooling method and common view specifications.

The objective is to make you comfortable with the method, so you can understand advanced applications with Sequential Entropy Pooling and causal stress testing.

#quant #quantsky #finance

Understanding our investment risk and analysis technologies. | Fortitudo Technologies Understanding our investment risk and analysis technologies. It is no secret that we think methods like CAPM, Black-Litterman and mean-variance are insufficient for building portfolios with good risk...

Check out this LinkedIn update about our investment risk and analysis technologies:

www.linkedin.com/posts/fortit...

#quant #quantsky #finance #markets #python #riskmanagement #data #investing #investment

Quantamental Catch-Up from @antonvorobets.bsky.social #quant Many of you have undoubtedly enjoyed the summer holidays, so you might have missed out on the first five lectures of the Applied Quantitative Investment Management course. So far, we have been through the first four chapters of the Portfolio Construction and Risk Management book, reaching a point where we understand stylized market facts, the investment simulation framework, and multi-asset

Quantamental Catch-Up from @antonvorobets.bsky.social #quant

Quantamental Catch-Up August 2025 edition of the Portfolio Construction newsletter, containing an overview of the Applied Quantitative Investment Management course.

Catch-up on the Quantamental Investing content that you might have missed during your summer holiday.

There is a lot of exciting content in the August edition of the Portfolio Construction newsletter, including video lectures and the popular posts recap.

#quant #quantsky #finance #markets #python

Anton Vorobets (@antonvorobets) Backtests with impressive performance are exciting, so why don't I share them? Simply because reliable systematic strategies are hard to come by and require constant surveillance to assess whether th...

Backtests with impressive performance are exciting, so why don't I share them?

Read more about it in this Subtack Note and article: substack.com/profile/1707...

#quant #quantsky #finance #markets #investing #python #investment #risk #backtesting

Quantamental Investing | Anton Vorobets | Substack Applied quantitative investment management content and updates on the Portfolio Construction and Risk Management book. Click to read Quantamental Investing, by Anton Vorobets, a Substack publication w...

Check out the Applied Quantitative Investment Management course.

It presents many new methods for institutional investment management of complex portfolios.

Find it here: antonvorobets.substack.com/t/course

#quant #quantsky #finance #markets #python #investing #risk #data #investment #cvar