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Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
Flirting with Models
Concentrating on Super Factors
The idea of focusing on the 'super factors' as a superior approach in the long run is gaining traction. In the past, banks would offer exposure to every possible combination of asset classes and factors, but this approach has proven to be risky and can result in losses. To avoid potential false discoveries, it is better to invest in a smaller number of factors that are 100% believed to be the real deal. Factors such as carry and momentum are good examples of this. By investing in a smaller number of complementary factors, higher level portfolio construction can be achieved.
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