Chris Carrano – Designing Practical Factor Models (S7E20)
Flirting with Models
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Navigating Institutional Portfolio Analysis
This chapter delves into the analysis of institutional portfolios using the Venn framework, uncovering common risks associated with apparent asset class diversity and factor concentration. It discusses the challenges of transparency in alternative investments and the limitations of traditional portfolio analysis methods, advocating for returns-based strategies to enhance understanding of private assets. The speakers stress the need for caution when interpreting model outputs and highlight alternative techniques for better risk contextualization.
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Transcript
