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Vivek Viswanathan - Quant Equity in China (S4E10)

Flirting with Models

CHAPTER

Stacking Approach to Multi-Factor Portfolios

Despite having moved on from a more traditional factor base approach to investing, you actually hold still some pretty strong views. There's this ongoing debate about whether should take an integrated approach or a mixed approach. The advantage of the mixing approach is you get dynamic active weights based on how confident you are about various stocks. If two signals agree on a stock's active weight, its active weight will stay the same. But they disagree, the active weight will decline moreover if two signals want to more than zero out a stock. And by the way, bottom up expecto return models o behave like this too.

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