Multi-Factor-Trading-Model

In this project, I created a statistical risk model using PCA. I used this model to build a portfolio along with 5 alpha factors. I created these factors, then evaluated them using factor-weighted returns, quantile analysis, sharpe ratio, and turnover analysis. At the end of the project, I optimized the portfolio using the risk model and factors using multiple optimization formulations. For the dataset, I used end of day data from Quotemedia and sector data from Sharadar.