Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12)
Corey Hoffstein engages with Farooq Jhaveraj to discuss his insights and experiences with Fidelity's Alternative Risk Premia (ARP) platform. They explore the key learnings and objectives of alternative risk premia, alongside Fidelity's strategic approach to strategy selection and avoiding overfitting. The conversation delves into Farooq's five-step portfolio design process, collaboration with banks, and defining long-term investment objectives. They also cover constructing robust peer groups, strategy selection, and transitioning risk management. The episode examines trade-offs in replication and diversification strategies, the role of alternative risk premia in asset allocation, and ongoing evaluation of portfolio sizing and P hacking.
Key Points
- Constructing robust portfolios of alternative risk premia requires a detailed, five-step process that includes specifying objectives, selecting appropriate premia, and ongoing portfolio management.
- Creating focused peer groups for strategy comparison allows for more accurate risk-return assessments, ensuring that selected strategies align well with portfolio objectives.
- Ongoing portfolio management is crucial for the long-term success of alternative risk premia portfolios, as it allows for proactive adjustments based on changing market conditions and strategy performance.
In this episode, I speak with Farouk Jivraj, Portfolio Manager and Head of Alternative Risk Premia at Fidelity Investments’ Asset Management Solutions division.
After spending nearly a decade on the sell side, Farouk joined Fidelity in 2021 with the goal of building out an alternative risk premium platform, tapping into the best of what both the sell-side QIS desks have to offer and what can be built in-house.
We spend the majority of the conversation peeling apart the layers of Farouk’s 5-step process for implementing alternative risk premia strategies. He shares his thoughts on how to classify different premia, why thoughtfully-constructed peer groups are an important evaluation tool, how to go about selecting specific strategies, how to construct portfolios of alternative risk premia, and the actual rubber-meets-road implementation practicalities.
Please enjoy my conversation with Farouk Jivraj.
Chapters
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| 2:16 | |
| 6:38 | |
| 13:30 | |
| 22:23 | |
| 30:17 | |
| 37:45 | |
| 49:54 | |
| 55:53 | |
| 59:13 | |
| 1:08:41 | |
| 1:10:48 |
Transcript
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