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.”

Paper Links:

  1. How large is the tracking error created by trend following?
  2. Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending

  • The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).
  • Join thousands of other readers and subscribe to our blog.
  • This site provides NO information on our value ETFs or our momentum ETFs. Please refer to this site.