Weekly Recap: Tracking Error and the “Mix Versus Integrate” Debate

In this video we 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.”


Video length: 00:13:53


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.”

Paper Links:

  1. How large is the tracking error created by trend following?
  2. Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending

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