Jim Masturzo - Tactical Asset Allocation (S3E4)
Flirting with Models
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How Do You Generate Trades for Model Portfolios?
We use mean varians optimization for our signals. And that means variancs optimization is not a single optimization. It's actually a whole bunch of them. You think about a dozen or two dozen different model portfolios that we create. They're going to be driven largely by valuations. Some of those are driven by different, for lack of a better term, bench marks or reference portfolios,. High risk, low risk, inflation centric, duration heavy, whatever it happens to be. We build a whole lot of these and when we seize particular trades that that come out of these, you can look across these different regimes or perspectives. If the a system wants to overweight a particular asset in
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