Dynamic Regime Strategy for Stress Testing and Optimizing Institutional Investor Portfolios

Our work aims to develop a stand-alone trading system to construct portfolios that show the benefits of value and momentum style integration and presents the effectiveness of alternative integration methods for long-only absolute return funds, which seeks absolute returns that are not highly correlated to traditional assets such as stocks and bonds. Our approach uses the CRoss Industry Standard Process for Data Mining (CRISP-DM) model to guide the necessary steps, processes, and workflows for executing our project.