Nick Baltas - Multi-Asset, Multi-Strategy Portfolios (S7E3)
Flirting with Models
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Integrate Signals, Mix Strategies
Combining different multi-asset strategies within a client portfolio involves a crucial choice between mixing signals and mixing strategies. This decision, often termed integration versus mix or bottoms up versus top down, influences the portfolio outcomes significantly. Mixing signals entails observing multiple signals and optimizing them collectively, while strategy mixing involves building separate portfolios based on different signals and then combining them. Despite extensive research on this topic over the past several years, there remains no unanimous consensus, with proponents supporting both approaches.
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