What is the most significant contributing factor to the performance of a quantitative fund: its signal generators or its risk allocators? Can we still succeed if we have good signal generators but poor risk management? How should we allocate to a portfolio of quantitative strategies?
I have developed a top-down and bottom-up model for portfolio allocation and risk-management of quantitative strategies. The interested readers can find the slides of my presentation here and can watch the webinar can be viewed on youtube.