Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12)
Flirting with Models
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Navigating Peer Groups in Alternative Risk Premia
This chapter explores the complex process of strategy selection within alternative risk premia, emphasizing the significance of focused peer groups instead of traditional benchmarks. It discusses the impact of specific strategies, such as the FX carry strategy, on risk-return profiles and highlights the importance of both quantitative and qualitative evaluations in forming representative peer groups. Additionally, the chapter underscores the role of thorough diligence in portfolio construction to optimize risk exposure and improve performance in diverse market conditions.
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