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:

How large is the tracking error created by trend following?

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending