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Masterclass

Practice Drills: Designing a Multi Strategy Allocation Framework

A hands-on drill course for senior quants, aspiring systematic fund managers and prop desk leads. You are handed the data pack for Kaveri Quant, a hypothetical prop desk running five systematic strategies on NSE cash, futures and options, and ₹200 crore to allocate across them. Working drill by drill, you write the mandate, estimate and haircut the inputs, build four baseline allocations by hand and in Python, layer on capacity, cost and margin constraints, add a regime overlay and a rebalancing rule, stress test and walk-forward test the allocator itself, and finish by writing the allocation policy document and defending it to a risk committee. Every number in the data pack is illustrative and labelled as such.

Multi-Strategy AllocationCovariance Estimation and ShrinkageDeflated Sharpe RatioEqual Risk ContributionFractional KellyMean-Variance With ShrinkageSPAN MarginVolatility TargetingRegime OverlaysRebalancing PolicyStress TestingWalk-Forward Testing

MODULES

7

DURATION

~6 hrs

TRACK

Quantitative Finance

What You'll Master

Write an allocation mandate with an objective, a book-level risk budget and hard constraints before touching any optimiser

Clean and align strategy return streams, then estimate volatility and correlation with sample, EWMA and shrinkage methods

Haircut backtested Sharpe ratios for estimation error and multiple testing using the deflated Sharpe ratio

Build equal capital, equal risk contribution, fractional Kelly and shrunk mean-variance allocations and compare them on one scorecard

Impose capacity, turnover, cost and NSE margin constraints and scale the book to a volatility target with a leverage cap

Add a regime overlay using India VIX and Nifty trend, and choose between calendar, threshold and drift-band rebalancing

Set drawdown budgets and cut rules, stress the framework against historical and hypothetical shocks, and walk-forward test the allocator

Write a complete allocation policy document and defend every choice in it to a risk committee

Access Level

LEARNER

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Everything included

Full Text Playbooks

Actionable Exercises

Mobile Reading Mode

Lifetime Updates

Curriculum Breakdown

Chapter 1: The Drill Brief

3 Lessons

The Brief: Kaveri Quant's Five Strategies and ₹200 Crore to Allocate12 min read

Writing the Mandate: Objective, Risk Budget and Hard Constraints Before Any Maths14 min read

The Strategy Data Pack: Reading Five Return Streams Like an Allocator15 min read

Chapter 2: Drill 1, Estimating the Inputs

3 Lessons

Aligning Return Streams: Gross vs Net, Capital Base and NSE Trading Calendars15 min read

Estimating Volatility and Correlation: Sample, EWMA and Shrinkage18 min read

Haircutting Backtest Sharpe: Deflated Sharpe and Estimation Error17 min read

Chapter 3: Drill 2, Baseline Allocations

4 Lessons

Equal Capital vs Equal Risk: Two Baselines by Hand15 min read

Equal Risk Contribution Across Strategies in Python18 min read

Fractional Kelly and Shrunk Mean-Variance: Adding Return Views Carefully18 min read

Comparing Four Allocations on One Scorecard15 min read

Chapter 4: Drill 3, Real-World Constraints

3 Lessons

Capacity, Turnover and Cost Constraints Per Strategy16 min read

Margin-Aware Allocation: SPAN, Netting and the Capital Each Strategy Consumes17 min read

Book-Level Volatility Target and Leverage Cap15 min read

Chapter 5: Drill 4, Regime Overlay and Rebalancing

3 Lessons

Defining Regimes With India VIX and Nifty Trend16 min read

Conditional Correlations and Regime-Tilted Weights17 min read

Rebalancing Rules: Calendar vs Threshold vs Drift Bands15 min read

Chapter 6: Drill 5, Stress Testing the Framework

3 Lessons

Drawdown Budgets and Strategy-Level Cut Rules15 min read

Stress Scenarios: March 2020 and NSE-Specific Shocks17 min read

Walk-Forward Testing the Allocation Rule Itself17 min read

Chapter 7: Capstone

3 Lessons

Writing the Allocation Policy Document16 min read

Capstone Drill: Allocating Through a Hypothetical Year20 min read

Defending the Framework to a Risk Committee15 min read