  We relook at the classic equity fund selection and portfolio construction
problems from a new perspective and propose an easy-to-implement framework to
tackle the problem in practical investment. Rather than the conventional way by
constructing a long only portfolio from a big universe of stocks or macro
factors, we show how to produce a long-short portfolio from a smaller pool of
stocks from mutual fund top holdings and generate impressive results. As these
methods are based on statistical evidence, we need closely monitoring the model
validity, and prepare repair strategies.

Portfolio Management;Machine Learning;Mathematical Finance