Flirting with Models Nick Baltas - Multi-Asset, Multi-Strategy Portfolios (S7E3)
46 snips
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.
AI Snips
Chapters
Transcript
Episode notes
Momentum's Serial Correlation Explained
- Momentum reflects serial correlation due to gradual information flow and slow capital movement across factors and themes.
- Systematizing factor momentum as trend following can exploit these slow-moving capital dynamics beyond single stocks.
Multi-Asset Strategy Roles
- Trend following is defensive, carry as diversifying, skewness as a complement to trend, and seasonality is mainly a negation signal.
- Each strategy’s role depends critically on its implementation and how it fits the client’s utility function.
Cross-Asset Skewness Defined
- Skewness measures return distribution asymmetry, signaling assets sold off most tend to outperform.
- This cross-asset relative value premium exists across commodities, equities, FX, and rates with low correlation among assets.