Resolve Riffs Investment Podcast Chris Schindler: The Alternative to Alternative Risk Premia (EP.10)
Jan 29, 2020
Chris Schindler, a pioneer in Alternative Risk Premia (ARP), shares his extensive experience from Ontario Teachers’ Pension Plan, where he developed groundbreaking quantitative strategies. He discusses the rise of index investing, emphasizing that there's no such thing as truly passive investing. Schindler also delves into the challenges of recent ARP returns and presents his innovative project aimed at providing uncorrelated alternatives. The conversation highlights the importance of diversification and understanding risk allocation in today's complex investment landscape.
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No True Passive
- Chris realized there's no truly passive investing; even index funds involve active decisions.
- He decided to build the "most passive" CTA by minimizing future assumptions and using all available data.
Three Predictions
- Predicting the future requires predicting returns, correlations, and risk.
- Most active managers focus on returns, but risk prediction is crucial, especially given volatility fluctuations.
Crowding Is the Enemy
- Crowded trades offer lower returns and higher risks.
- Less volatile fixed income has a higher Sharpe ratio than more volatile because people crowd into the latter, avoiding leverage.