The team has spent the last 11 episodes discussing the importance of asset allocation; the role of systematic “factor” tilts like momentum, value and trend; and how portfolio optimization can act as a force multiplier on long-term performance.
This episode comes full circle by integrating all of the concepts described thus far: Asset Allocation, Risk Balance, Ensemble Methods, Portfolio Optimization and Factor investing, using multi-asset momentum as a case study for this integration.
The team also discusses the importance of process diversification in terms of how to select an optimal multi-asset investment universe; diverse measures of momentum; different methods of portfolio optimization; and holding period diversification.
A fitting conclusion to the 12 Days of Wisdom series, this is one that listeners will not want to miss!
Podcast series re-posted with permission from Resolve Asset Management. Click here to see the original post.