Research
Each cohort picks one theme — we read, verify with data, and share the results.
Cohort 1 Study
We built a foundation in quant investing — from risk and performance analysis to multi-factor models, alpha sizing, loss management, and leverage. We met offline every other week, took turns presenting the book, and kept the questions and debate going, with an offline completion rate above 90%. Beyond the book, we shared our own development and research, reviewed KDD, read analyst reports, and ran a mini project.
- Period
- About 5 months · offline every other week
- Books
- Foundations of Fundamental Quant Investing (Korean)
- Status
- Completed
Sessions
| Session | Topic | Chapters | Key Takeaways | Additional Talks & Labs |
|---|---|---|---|---|
| OT | Orientation | Ch 1, 2 | Shared how the study runs and its goals, and used the first chapter to discuss why fundamental investors need systematic portfolio management. |
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| 1 | Analyzing risk and performance | Ch 3 | Interpreted returns through volatility, the Sharpe ratio, and the information ratio, and learned the basic framework for splitting performance into market exposure and idiosyncratic alpha. |
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| 2 | Foundations of multi-factor models | Ch 4 | Covered the structure of multi-factor models that decompose stock returns into common factors and idiosyncratic returns, and how to estimate factor exposures and covariance. |
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| 3 | Understanding factors | Ch 5 | Examined the definitions and economic meaning of market, sector, and style factors (value, momentum, size, and more) and interpreted a portfolio’s factor exposures. |
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| 4 | Effective heuristics for alpha sizing | Ch 6 | Compared practical rules for sizing positions by conviction and risk, and analyzed the pros and cons of approaches such as equal weighting and risk parity. |
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| 5 | Managing factor risk | Ch 7 | Covered how to detect unintended factor exposures and bring portfolio risk to target levels through hedging and optimization. |
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| 6 | Understanding your performance | Ch 8 | Learned to split sources of return into factor contribution and stock selection through performance attribution, and to evaluate investment skill objectively. |
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| 7 | Managing losses | Ch 9 | Examined how stop-loss rules and drawdown management affect long-term performance, and designed a rule-based loss management framework. |
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| 8 | Setting leverage for sustainable performance | Ch 10 | Covered how to set a sustainable leverage level under volatility and drawdown constraints, and wrapped up what the cohort learned. |
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