You can watch the video via the link below:
This week Ryan and Jack discuss several important topics. First, they discuss the tracking error associated with trend-following strategies. Second, they chat about a paper by researchers from Goldman Sachs, “Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending.”
Alpha Architect Weekly Recap: Tracking Error and the “Mix Versus Integrate” Debate was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience.