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

Bullish:

• $ALTRISKPREMIA - Alternative risk premia strategies are seen as an attractive and durable source of returns, providing compensation for bearing various forms of risk.

  • “Alternative risk premia is this kinda source of returns that we feel attractive and durable and provide compensation for bearing some form of risk, whether it be structural or behavioral.”

    Farooq·9:05
• $TRENDFOLLOWING - Trend following strategies have proven effective, particularly in 2022, by providing needed returns during challenging market conditions.

  • “This is why trend following in 2022 was particularly highlighted because it provided that source of needed returns.”

    Farooq·1:07:03
• $FXCARRY - FX carry strategies with constrained equity beta offer similar Sharpe ratios to unconstrained versions, but with less severe drawdowns and lower correlation to equities, making them useful for portfolio diversification.

  • “Whilst the Sharpe ratios are similar, you tend to find that the FX carry beta constrained version has less severe drawdowns and ultimately a lower correlation in beta to equities, which can be useful in a portfolio where the objective is ultimately equity diversification or defensiveness.”

    Farooq·1:10:04

Bearish:

• $LIQUIDSTRAT - There is significant skepticism towards liquidity strategies in the current market environment.

  • “And so currently, we are very much viewing liquidity strategies with, I would say, a healthy dose of skepticism.”

    Farooq·1:03:03