As a quantitative researcher, your main goal is to find new financial edges. In this article, we will show an overview of the pipeline for designing alpha-generating investment strategies, with associated python code as usual.
In portfolio management, the combination of SAA and TAA portfolios is key to build robust funds.
The SAA reflects the long term view of the management team on the different assets, while the TAA allows to implement short-term views and adds a tilt to SAA, hopefully adding some alpha to the fund.
In this article we look into the incorporation of TAA and its sizing along an existing SAA portfolio.