Flirting with Models
Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12)
Oct 7, 2024
In this conversation with Farouk Jivraj, a seasoned portfolio manager at Fidelity Investments, listeners will discover the intricacies of alternative risk premia strategies. He outlines a practical 5-step approach for effectively implementing these strategies. Farouk emphasizes the significance of thoughtfully-constructed peer groups and the importance of adapting to market dynamics. The discussion also covers the role of technology in finance, the potential hazards of p-hacking in research, and how active management enhances portfolio performance.
01:11:22
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Quick takeaways
- Farouk Jivraj outlines a five-step process for implementing alternative risk premia strategies, emphasizing the integration of rigorous management and perpetual evaluation.
- Establishing focused peer groups is crucial for accurately assessing alternative risk premia, as generic benchmarks often overlook unique strategy characteristics.
Deep dives
Building Alternative Risk Premium Strategies
The episode delves into the construction of alternative risk premium (ARP) strategies, highlighting the importance of understanding how different factors interact within portfolios. Farouk Javraj, an industry expert, explains that his experience on both the sell-side and buy-side informs the design of ARP platforms at Fidelity Investments. He emphasizes the significance of a well-rounded approach that considers the psychological aspects of managing portfolios alongside technical strategies. The discussion also reveals the dual importance of maintaining rigorous standards in both strategy generation and portfolio management to optimize long-term returns.
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