Expected Returns: Factor Creation and Feature Engineering

Guided by theories of expected returns by Ilmanen (2011), we will test models to understand how various factors drive returns on stocks and commodities portfolios. Through a series of replication projects, we will build vignettes to analyze the effects of factors such as inflation, liquidity and economic cycles on portfolio performances. The project pertains to the quantitative analysis of active portfolio management and the three broad areas under which implementations fall are: (i) approaches to dynamic asset weighting, (ii) return factors and their risk premia and (iii) time-varying expected returns. The ultimate goal of the project is to provide an accessible framework for factor and portfolio analysis that adds to existing literature on portfolio management, contributes to open source research and replications, and identifies areas for future research.