I recently listened to S7E3 of Flirting with Models which had Nick Baltas talking about Multi Asset and Multi-Strategy portfolios. Nick highlighted his work on cross-asset skew and how it can compliment your typical equity factors (momentum, growth, value etc.) and is an under-explored topic in portfolio construction. After reading the original paper, Cross-Asset Skew, I decided to try and replicate the results and see whether skew comes out in the wash and produces any alpha.
