You can watch the video via the link below:
This week Ryan and Jack discuss several important topics. First, they discuss the tracking error associated with trend-following strategies. Second, they chat about a paper by researchers from Goldman Sachs, “Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending.”
- How large is the tracking error created by trend following?
- Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending
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