Portfolio Construction
Coming SoonRoute /dashboard/construction · Flag enablePortfolioConstruction
Portfolio construction is made a first-class, deterministic step rather than something hidden inside strategy code. It combines forecasts, constraints, risk, cost, turnover, and current holdings into a target portfolio, then hands that target to pre-trade checks and order generation. Every run is versioned and replayable.
From forecasts to a target portfolio
Construction takes signal forecasts plus the operating profile's constraints and produces target weights through a configured optimizer. Separating this from signal generation means the same signals can be constructed under different risk/cost/turnover settings without touching strategy logic.
- Forecast combination — blend multiple signals into a single expected-return view.
- Optimizer configuration — risk aversion, constraint set, and cost/turnover penalties, captured as a versioned config.
- Target portfolio — the output weights handed to the pre-trade layer.
- Order-intent handoff — the diff against current holdings becomes the order intent.
Replay and reproducibility
Each construction run records its inputs and config version so it can be replayed exactly. This is what lets the evidence vault and research loop reason about why a given target portfolio was produced on a given day.
Related
- Signal Governance — supplies the forecasts
- Pre-Trade Risk & Controls — checks the target portfolio
- Execution & Order Audit — receives the order intent