Sungkyunkwan University
Machine Learning for Smart Beta
Sungkyunkwan University

Machine Learning for Smart Beta

Taught in English


Gain insight into a topic and learn the fundamentals

Youngju Nielsen
Haeram Joo

Instructors: Youngju Nielsen

Intermediate level

Recommended experience

7 hours to complete
3 weeks at 2 hours a week
Flexible schedule
Learn at your own pace

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There are 4 modules in this course

Building on the concepts learned in previous courses 'The Fundamental of Data-Driven Investment' and 'Using R for Regression and Machine Learning in Investment', this course will cover 'Smart beta'. Smart betas products have the characteristics of both passive investment(having predetermined rules) and active investments(allows for factor investment). Smart beta products' investment mechanisms are open to the public, so we will recreate a MSCI smart beta product in R. Follow along the step-by-step reconstruction of the MSCI Enhanced Value Index and create your own smart beta portfolio.

What's included

5 videos1 assignment

In order to effectively utilize machine learning in investment, it is important to understand the various characteristics of data. This module covers how to check the prediction accuracy of a machine learning model and prevent overfitting. Get hands on experience in R to manipulate data into a form suitable for machine learning models from regression models to classification trees.

What's included

4 videos

The asset selection method based on a score derived from a benchmark index has the problem that the selected assets do not reliably capture underlying information. To solve this problem, a non-traditional method, namely machine learning is used to create an improved multi-factor approach. Familiarize yourself with CART(Classification and Regression Tree), bagging, boosting and ensemble methods to enhance your smart beta portfolio in R.

What's included

4 videos

In this final module, we wrap up the discussion by creating a multifactor model applying all the knowledge we have learned so far. Investors have taken a steady interest in multifactor models that take into account the cyclicality of factors. Further, we expand the discussion into the use of factors in bond investment and a new method of active factor allocation.

What's included

5 videos


Youngju Nielsen
Sungkyunkwan University
3 Courses2,738 learners

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