In partnership with:
CME Group

Top Traders Round Table – Abrams | Karahasanoglu | Lo #09

"Pointing to the dispersion of returns among managers, it’s really difficult to desegregate skill from luck." (Tweet)

Top Traders is bringing you Top Traders Round Table, a series of conversations with industry leaders on the subject of Managed Futures. On this episode my guests are Ryan Abrams, Portfolio Manager at Wisconsin Alumni Research Association, Ela Karahasanoglu, VP at Workplace Safety and Insurance Board, and Carrie Lo, Director of Hedge Strategies at CalSTRS.

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In This Episode, You'll Learn:

  • How Carrie diligently prepared her new Risk Mitigation Strategies (RMS)
  • How much CalSTRS will initially allocate to the RMS part for their $200bn+ portolio
  • How Ryan uses risk mitigation strategies in his organization
  • How Ela is slowly restructuring her alternative portfolio
  • The risks of risk parity strategies
  • Is trend-following really an opportunity cost question?
  • How Carrie has worked with the CalSTRS board on implementing this strategy
  • Why Ela has focused more on tail-risk strategies
  • Carrie’s manager selection process

This episode was sponsored by CME Group:

Connect with our guests:

Learn more about Ryan Abrams and Wisconsin Alumni Research Association

Learn more about Ela Karahasanoglu and Workplace Safety and Insurance Board

Learn more about Carrie Lo and CalSTRS

"A potential Achilles heel, at least of a risk parity portfolio, is your exclusively long assets." - (Tweet)

1 Comment

  1. temil marmon on 10/09/2017 at 6:37 PM

    Very interesting discussion on large fund portfolio construction. Many of the concerns at this level are also prevalent in smaller fund creation and even with high net worth individuals working to create their own portfolios. The balance between keeping beta low and still generating at market or higher than market returns can be elusive and it seems the tendency towards choosing low vol programs, i.e. choosing safety, may lead to actual higher risk/reward ratios. Also finding programs with higher conviction profiles sounds good in theory, but it may be hard to measure their success until we are in a higher volatility regime again. Can’t get enough of these podcasts. Thanks again.

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