Flirting with Models cover image

Asif Noor – Modern Systematic Macro (S6E9)

Flirting with Models

00:00

How to Allocate Risk Across Different Alpha Clusters

In our pre call you mentioned that when it comes to allocating towards different alpha models one of the approaches that you lean heavily into is hierarchical risk parity. So, I'm curious if you could talk a little bit about how you think about tackling this problem making sure when you go to allocate risk across these different alpha clusters you're not unintentionally over allocating risk because you have this estimation issue. Sure. In some cases we do apply those techniques but ultimately what you're referring to is your goal is telling you to allocate risk in a certain way and actually for whatever reason the discretionary trader and you saying I'm not quite comfortable with that right. That's an element of it. The second element

Transcript
Play full episode

The AI-powered Podcast Player

Save insights by tapping your headphones, chat with episodes, discover the best highlights - and more!
App store bannerPlay store banner
Get the app