Masterclass
Masterclass: Managing a Multi Strategy Quant Portfolio
A masterclass in running a book of many quantitative strategies as one portfolio. Built for senior quants who own a sleeve inside a larger book, aspiring systematic fund managers who must design the book from scratch, and prop desk leads who allocate capital across traders. Treats every strategy as a return stream with its own data sheet, then teaches how to allocate capital across streams under noisy Sharpe estimates, aggregate gross, net and factor exposure across pods, set drawdown budgets and kill switches, use NSE margin and netting rules for capital efficiency, and run the full lifecycle from incubation to retirement. Follows Mahanadi Systematic, a hypothetical Category III AIF running five sleeves on NSE cash, futures and options, from its first allocation to a full year of live decisions. Grounded in SEBI regulation, NSE Clearing margin practice and the real history of multi-strategy blow-ups.
Multi-Strategy Portfolio ManagementCapital AllocationRisk Parity and Volatility TargetingKelly CriterionPortfolio Risk AggregationStress TestingDrawdown BudgetsSPAN Margin and Cross-MarginingAlpha DecayStrategy LifecycleModel Risk GovernanceCategory III AIF
MODULES
8
DURATION
~7 hrs
TRACK
Quantitative Finance
What You'll Master
Describe every strategy as a return stream with a standard data sheet covering Sharpe, drawdown, capacity, turnover, cost drag and regime behaviour
Explain how pod, central-book and hybrid multi-strategy firms are organised and which model fits an Indian AIF, PMS or prop desk
Allocate capital across sleeves using equal risk, risk parity, fractional Kelly and shrinkage-based mean-variance, and know when each one breaks
Aggregate gross, net and factor exposure across strategies, compute book-level VaR and expected shortfall, and stress the book against March 2020 and the 2007 quant quake
Design drawdown budgets, risk limits and kill switches at sleeve and firm level that are written before launch, not during a crisis
Use SPAN, exposure margin and NSE cross-margining rules to net positions across sleeves and cut the capital a book needs
Run the strategy lifecycle: incubation sleeves, scaling rules, alpha decay detection with rolling Sharpe and CUSUM, and pre-written retirement criteria
Set up model risk governance, investor reporting and pod PM economics that satisfy SEBI's Category III AIF and algo trading frameworks
Access Level
LEARNER
Everything included
Full Text Playbooks
Actionable Exercises
Mobile Reading Mode
Lifetime Updates
Curriculum Breakdown
Chapter 1: The Multi-Strategy Book: What You Are Actually Managing
5 Lessons▶
Why Multi-Strategy: Diversifying Return Streams, Not Stocks10 min read
▶
Pods, Central Books and Hybrids: How Multi-Strategy Firms Are Organised11 min read
▶
The Indian Landscape: Category III AIFs, PMS, Prop Desks and Where Multi-Strategy Lives11 min read
▶
Meet Mahanadi Systematic: A Five-Sleeve Book on NSE Cash, Futures and Options12 min read
▶
A Strategy Is a Return Stream: The Data Sheet Every Sleeve Must Carry12 min read
Chapter 2: Understanding Each Sleeve: Strategy Families and How They Behave
5 Lessons▶
Cross-Sectional Momentum and Statistical Arbitrage: The Equity-Neutral Sleeves12 min read
▶
Trend Following on Index and Commodity Futures: The Crisis Alpha Sleeve11 min read
▶
Options Volatility Strategies: Short Gamma, Long Vega and the Convexity Ledger13 min read
▶
Market Making and Intraday Alpha: High Turnover, Short Holding, Hard Capacity Limits11 min read
▶
Correlation Is Not Constant: How Sleeves Behave in Calm, Trend and Crash Regimes12 min read
Chapter 3: Capital Allocation Across Strategies
5 Lessons▶
The Allocation Problem: Why Strategy Sharpe Estimates Are Noisier Than You Think12 min read
▶
Equal Risk, Risk Parity and Volatility Targeting Across Sleeves12 min read
▶
Kelly, Fractional Kelly and Drawdown-Constrained Sizing13 min read
▶
Mean-Variance With Shrinkage and Bayesian Priors on Strategy Sharpe13 min read
▶
Case Study: Allocating Mahanadi's ₹500 Crore Across Five Sleeves13 min read
Chapter 4: Aggregating Risk at the Book Level
5 Lessons▶
Gross, Net and Factor Exposure: Netting What the Pods Cannot See12 min read
▶
Book-Level VaR and Expected Shortfall: Why the Correlation Assumption Dominates13 min read
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Stress Testing the Book: March 2020, the 2007 Quant Quake and NSE-Specific Shocks13 min read
▶
Drawdown Budgets, Risk Limits and Kill Switches at Sleeve and Firm Level12 min read
▶
Tail Hedging a Multi-Strategy Book: What to Buy, When and How Much12 min read
Chapter 5: Margin, Funding and Capital Efficiency on Indian Exchanges
4 Lessons▶
SPAN, Exposure Margin and Cross-Margining: What NSE Clearing Actually Charges12 min read
▶
Netting Across Sleeves: Internal Crossing, Offsetting Positions and Margin Savings12 min read
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Leverage, Funding Costs and the Price of Idle Capital11 min read
▶
Transaction Cost Budgeting: STT, Impact Cost and Turnover Across Sleeves12 min read
Chapter 6: The Strategy Lifecycle: Onboarding, Scaling, Decay and Retirement
5 Lessons▶
Incubation Sleeves: Paper Trading, Small Capital and the Gate to Full Allocation11 min read
▶
Scaling Rules: How Much More Capital, How Fast and What Must Be True First11 min read
▶
Alpha Decay Detection: Rolling Sharpe, CUSUM and the Statistics of a Slowing Edge13 min read
▶
Retiring a Strategy: Kill Criteria Written Before Launch11 min read
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Case Study: Mahanadi's Quarterly Sleeve Review, Four Quarters of Decisions13 min read
Chapter 7: Governance, Technology and Regulation
4 Lessons▶
Model Risk Management: Version Control, Change Control and Sign-Offs12 min read
▶
Infrastructure: Shared Data, Shared Execution and Independent Research11 min read
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SEBI's Framework: Category III AIF Rules, Algo Trading Regulation and Reporting Duties12 min read
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Investor Reporting and Fee Structures: Netting Risk, Pass-Through Costs and Hurdles12 min read