News category: Alternative Risk Premia

I was in sunny Paris this week at TradeTech Europe and it got me thinking about how markets are increasingly interconnected and whether it is a positive development or not. Panelists were talking about how derivatives strategies are becoming less exotic and increasingly mainstream among institutions, with multi-asset investors using more sophisticated derivatives strategies and

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Farouk Jivraj, portfolio manager and head of alternative risk premia at Fidelity Investments, said the firm’s two new alternative risk premia funds can be used as a way to source equity diversification from ARP strategies in commodity and currency markets. 

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Diversification is maybe the most sought-after element when it comes to designing and constructing investment portfolios. We have written about numerous risk management strategies that blend investments in an attempt to limit exposure to any single asset or risk.

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Arnaud Jobert, managing director, co-head of global strategic indices at JPMorgan in London, said clients still have strong interest in robust and diversified defensive portfolios, building upon core pillars such as traditional direct hedging, statistical hedging and market neutral carry.

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Alexandru Grigorescu, director of investments at American Red Cross, said the nonprofit has been focusing on building more completion and hedging portfolios internally and looking at ways to improve its risk implementation. External managers are not a focus at this time as the organization does not believe it can add value to its process through externally managed portfolios, Grigorescu said in an interview on the sidelines of Investor EQD – Austin. 

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Farouk Jivraj, portfolio manager and head of alternative risk premia at Fidelity Investments, told attendees at Investor EQD in Austin about how he thinks commodity risk premia strategies can offer portfolio diversification. He also touched upon research used to build Fidelity’s new funds.

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Peter Possing Andersen, head of investments at Tryg Invest, a EUR9 billion property and casualty insurance company serving customers across Denmark, Norway and Sweden, said he is looking at adding quantitative investment strategies in a swap format to the firm’s systematic hedging overlay strategy.

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Quants are back in the headlines, which historically has not been a good time for this little slice of the financial industry.

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Institutional investors are seeking volatility based strategies, including ultra short-dated options strategies, as a way to gain access to innovative payoffs with profiles previously unattainable within a single pure-design strategy, said Yana Keresteliev, head of quantitative investment strategies institutional sales and origination at Citi

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Away from this week’s headlines which have included short dispersion being named as the latest short-vol trend that’s gone too far, Man Group dropping the GLG brand and EQDerivatives’ exclusive interview with Deepak Gulati, which you can read here, I have been in a happy little Barcelona bubble which I am going to bring you

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