Nick Baltas

Nick Baltas works as a quantitative researcher at Goldman Sachs Asset Management (GSAM) and has published widely-cited research on trend-following strategies, cross-asset risk premia, and systematic portfolio construction. His academic and practitioner papers examine why trend-following strategies generate consistent returns across asset classes, how to combine different systematic strategies efficiently, and the behavioral and risk-based explanations for factor premiums. His work has contributed to both academic literature and practical applications in systematic investment management at major institutions. His research on the capacity constraints of trend-following strategies — analyzing how strategy returns decay as capital under management grows and market impact increases — has given institutional allocators a framework for sizing their allocations to systematic strategies in a way that preserves the strategy's historical return characteristics.