Abstract: We present a novel framework for analyzing the optimal asset and signal combination problem. We reformulate the original problem of portfolio selection from a set of correlated assets and signals into one of selecting from a set of uncorrelated trading strategies through the lens of Canonical Correlation Analysis of Hotelling (1936). The new environment of uncorrelated trading strategies offers a pragmatic simplification to the inherent complicated structure of our underlying problem that involves interactions between and within variables. We also operationalize our framework to bridge the gap between theory and practice and showcase improved risk adjusted returns performance of our proposed optimizer over the classic mean-variance optimizer of Markowitz (1952). Full paper here.