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Asif Noor – Modern Systematic Macro (S6E9)

Flirting with Models

00:00

How to Unify Alpha Forecasts for Different Time Horizons

We optimize the multi-strat portfolio 12 to 15 times a day, mainly because we get alpha forecasts of over different horizons. We may have a macro model that has a medium term horizon. So it doesn't really mind whether you execute it over a vvap over several hours or any of these simple slicer algos. Whereas we have short term opportunities that come in random times of the day that need to be executed within a certain timeframe,. otherwise the alpha is no longer available.

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