Hello All!

Yesterday we presented a webinar for Interactive Brokers on using Mean Variance Optimization for ETF Portfolio Rebalancing. We implemented it in the Algorithm Framework -- a new way we're offering for users to design algorithms which is more modular and extensible.  

The Framework was built using the most common abstractions we see in the community. It has 5 modules - Universe Selection, Alpha Creation, Portfolio Construction, Execution and Risk Management. If you're interested I'd recommend checking it out as a way to improve your algorithm foo! 

The key module we discuss here is the Mean Variance Portfolio Construction Model. This takes the historical returns of the assets presented by the Historical Returns Alpha Model and uses them to construct the portfolio! Its fascinating stuff on the cutting edge of Quant finance so I'd highly recommend learning the new framework.

Check out the video and slides below!