Nick Baltas - Multi-Asset, Multi-Strategy Portfolios (S7E3)

Corey Hoffstein and Nick Baltas delve into Nick's career in systematic investing and the evolution of client utility functions. They discuss categorizing and integrating systematic strategies, the future of quant equity, and banks' advantages. The conversation covers equity factors, momentum, and thematic serial correlation, plus multi-asset strategies and defensive implementations. They explore skewness in investment strategies, including measurement, implementation, and theories behind the skewness premium. The episode also addresses portfolio construction, historical vs. forward-looking skewness, cross-asset strategies, capacity risk, and Nick's current obsessions.