Jason Josephiac - Portable Alpha and Risk Mitigating Strategies (S6E6)
Flirting with Models
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How to Manage Leverage Risk in a Portable Alpha Program
Leverage introduces path dependency risk through the risk of margin calls. I'm curious how you think about managing this risk, particularly when you are implementing portable alpha using hedge funds that might require lockups or be less liquid. You can't rely on other parts of your strategic asset allocation for liquidity. And we saw that easily in Q1 of 2020 where everything goes down, it goes down at once.
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