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Flirting with Models - Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12)

Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12)

10/07/24 • 71 min

Flirting with Models

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.

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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.

Previous Episode

undefined - Giuseppe Paleologo - Multi-Manager Hedge Funds & Thinking Deeply About Simple Things (S7E11)

Giuseppe Paleologo - Multi-Manager Hedge Funds & Thinking Deeply About Simple Things (S7E11)

In this episode I chat with Giuseppe Paleologo – or Gappy as he likes to be called. Currently on garden leave, Gappy has previously worked in Risk & Quantitative Analytics at Citadel, as Head of Enterprise Risk at Millennium, and most recently as Head of Risk Management at HRT.

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We then discuss the broad field of factor research and portfolio construction, where Gappy shares some of his strongly held views, both on how factors should be constructed as well as how they should be utilized. Topics include returns versus characteristics, mixing versus integrating alpha signals, single- versus multi-period optimization, and linear- versus non-linear models.

Please enjoy my conversation with Giuseppe Paleologo.

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