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Vivek Viswanathan - Quant Equity in China (S4E10)
Flirting with Models
Stacking Is Better Than Mixing and Integrating Approachs
We came up with this method of stacking in 20 16, before we even heard of this debate. It's not like mixing and integrating approachs never entered my conscioucness. But we quickly decided stacking is superior. You can either gain or lose active weights based on agreement or disagreement. If two factors agree, you'll add active weight. If they disagree strongly, you'll lose active weight. Now for what its worth, if you allow your portfoid to short stocks, or if your active weights are extremely small, then the mixing and the stacking approaches differ only by multiplier on active weights. But if you're in a standard long only these approaches have very real differences.
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