Quantitative Asset Management - Building Systematic Real-World Strategies with Michael Robbins
Excess Returns
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The Importance of Combining Factors and Managing Quantitative Models in an Ensemble Approach
This chapter discusses the advantages of combining different factors in quantitative asset management strategies, citing a chart by Larry Sweatero that demonstrates the underperformance of various factors. The hosts explain how combining these factors can minimize underperforming periods and enhance strategy stickability for investors, drawing parallels to managing quantitative models in an ensemble approach and emphasizing the significance of diversification across timeframes and skill levels.
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