Flirting with Models Nick Baltas - Multi-Asset, Multi-Strategy Portfolios (S7E3)
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Dec 26, 2023 Nick Baltas, managing director at Goldman Sachs, discusses using systematic strategies to solve asset owner problems, his research on cross-asset skewness and implementing a skewness strategy. He also shares insights on building multi-strategy portfolios and meeting client needs.
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Nick Baltas Career Journey
- Nick Baltas transitioned from electrical engineering in Greece to finance via a PhD at Imperial College focusing on signal processing in finance.
- He progressed from academia to hedge funds, UBS, and now leads strategy R&D at Goldman Sachs.
Evolving Client Utility Functions
- Client utility functions have evolved from seeking a holy grail of uncorrelated alpha to accepting defensive strategies even at a cost.
- Custom solutions are needed to address idiosyncratic objectives like hedging private equity exposure or complementing hedge fund portfolios.
Categorizing Systematic Strategies
- Systematic strategies categorize broadly into contractual hedges, statistical hedges, diversifying premia, and carry-oriented premia.
- Each category suits different client objectives like defense, diversification, or yield enhancement, requiring careful alignment.