Market neutral portfolios are designed to offer a positive expected return that is uncorrelated to the return on the broad equity market. It is a form of statistical arbitrage commonly used by hedge funds and other quantitative equity investors. In this talk, presenter Joe Marks will begin by estimating the statistics that serve as the inputs to a market neutral trading strategy, solve an optimization problem that produces the portfolio weights for our strategy, and test the strategy out-of-sample to determine if the market neutral portfolio return was actually uncorrelated to the market return as intended.