Flirting with Models
Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies.
Chris Carrano – Factor Models, Institutional Insights, and Portfolio Diagnostics (S7E20)
Join Corey Hoffstein and Chris Carrano as they explore Chris's journey to his role at Venn by Two Sigma. They dive into risk analysis, factor-based investing, and the limitations of traditional asset class frameworks. Discover the adoption of factor analysis in institutional investing, focusing on parsimonious modeling and balancing robustness with interpretability. The discussion covers portfolio construction, surprises in diversification, transparency challenges, and analyzing private asset returns. Chris also shares insights into stress testing, scenario analysis, and translating diagnostics into strategies. Plus, a glimpse into his interest in Pokemon cards.
Key Points
- Understanding and utilizing a parsimonious factor model can significantly improve the transparency and actionability of risk analysis in multi-asset portfolios.
- Returns-based factor analysis provides a powerful tool for institutional allocators to uncover hidden risks and better understand the true drivers of portfolio performance, even in the absence of complete holdings transparency.
- The integration of advanced techniques such as desmoothing, interpolation, and extrapolation is crucial for making private asset return streams more representative, enhancing the accuracy and interpretability of the overall risk model.
Chapters
| 0:00 | |
| 0:19 | |
| 1:25 | |
| 3:02 | |
| 5:35 | |
| 6:21 | |
| 7:20 | |
| 8:44 | |
| 10:39 | |
| 13:15 | |
| 17:15 | |
| 18:39 | |
| 25:02 | |
| 28:21 | |
| 33:33 | |
| 37:54 | |
| 41:44 | |
| 46:02 | |
| 49:29 | |
| 52:01 | |
| 53:24 | |
| 55:21 |
Transcript
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