Flirting with Models
Flirting with Models is a podcast that explores quantitative investment strategies. Host Corey Hoffstein, Chief Investment Officer of Newfound Research, interviews investors who research, design, develop, and manage systematic strategies. Topics include value, momentum, merger arbitrage, and managed futures.
Episodes
Stacie Mintz – Turning Qualitative Fundamentals into Quantitative Factors (S7E33)
My guest this episode is Stacie Mintz, Managing Director and Head of Quantitative Equity at PGIM Quantitative Solutions.Stacie has spent 33 years at PGIM, and she's been there for every defining moment of the firm's quant equity effort: a first strategy born from a client's challenge to move beyond indexing, a 1999 decision to abandon Barra and bring the risk model in-house, surviving the quant qu
Ben Wellington – Complex Feature Engineering at Two Sigma (S7E32)
My guest this episode is Ben Wellington, Head of Complex Feature Engines at Two Sigma.In a modern quant process, one might argue that edge can live in three places: the data you can get your hands on, what you do with that data, and how you forecast from it. Ben lives squarely in the middle layer — feature generation — which also happens to be the place AI is reshaping fastest.So that's where we s
Peter Hecht – Portable Alpha: Solving the Funding Problem of Alternatives (S7E31)
My guest this episode is Peter Hecht, co-head of the North America Portfolio Solutions Group at AQR.Portable alpha is drawing serious attention right now. Long the province of large institutions, it's now being wrapped into mutual funds and ETFs — which means, for the first time, advisors and the individual investors they serve get a seat at the table. So I wanted to sit down with someone who's be
John Gu – Crypto Market Making & The Cold Start Problem (S7E30)
My guest today is John Gu, founder and CEO of Caladan, one of the most active market makers in crypto and a firm that has provided liquidity to more than 200 token launches. John's path runs through MIT, AlphaSimplex, Citadel's principal strategies group, and Tower Research before landing in Singapore at the dawn of the ICO era — where what started as a trade on the kimchi premium became the found
Faheem Osman – Commodity QIS: An Under-Appreciated Source of Systematic Returns? (S7E29)
In this episode I speak with Faheem Osman, Managing Director and Global Head of QIS Structuring at Macquarie Group.Faheem has spent nearly two decades inside major investment banks — first at Citi, where he spent about ten years on the commodities trading and structuring side, and now at Macquarie, where he's built out their cross-asset QIS business. Commodities, though, remain firmly in the DNA o
Richard Craib - Crowd-Sourced Alpha with Numerai (S7E28)
Today, I’m speaking with Richard Craib, the CEO and founder of Numerai.If you’ve heard of Numerai before and thought of it as an interesting experiment at the intersection of data science and crypto, it’s worth updating that mental model. Over the last few years, Numerai has quietly grown from roughly $60 million in assets to over $600 million. JPMorgan has invested and secured $500 million of cap
Ruslan Fakhrutdinov – Extended Exchange and Vault Tokenization (S7E27)
Today, I’m speaking with Ruslan Fakhrutdinov, the founder of Extended, a decentralized perpetual futures exchange.Ruslan is the fifth perpetual futures exchange founder I’ve had on the podcast, and that’s very intentional. Flow continues to move toward these platforms, and while trading perps can feel familiar to anyone coming from centralized or traditional exchanges, the way risk is absorbed and
Angana Jacob - Data as the True Competitive Moat (S7E26)
Today, I am speaking with Angana Jacob, Head of the Research Data group within the Enterprise Data business at Bloomberg.We talk about Angana’s career path through quantitative research and data platforms, and how the industry has evolved from a world dominated by bespoke models and backtests to one where many models have become increasingly commoditized. A central theme of our conversation is the
Moritz Heiden & Moritz Seibert – Trend-Following Spreads (S7E25)
A few years ago, I sat down with Moritz Seibert and Moritz Heiden of Takahe Capital to talk about trend following at the edges of the futures markets: places where liquidity is thin, contracts are obscure, and capacity constraint is a feature, not a bug.Since then, despite strong performance, asset growth, and even winning industry awards, they made a very un-industry decision: they shut down thei
Annanay Kapila – Perpetual Futures Everywhere and All the Time (S7E24)
In this episode I speak with Annanay Kapila, founder and CEO of QFEX, a 24/7 centralized perpetual-futures exchange for traditional financial markets.Before founding QFEX, Annanay worked at Flow Traders and Tower Research, where he was introduced to high frequency trading and market microstructure in both crypto and traditional markets. Insights gleaned during these experiences lead him to the co
Jay Rajamony – Beyond Factors: Reimagining Quant Equity for the Modern Era (S7E23)
In this episode, I speak with Jay Rajamony, Director of Alternatives at Man Numeric.Jay has been with the firm since 2004, giving him a front-row seat to the evolution of quant equity: from simple factor models and broad signals to today’s world of alternative data, model ensembles, and human-machine collaboration.We start with the history: what’s changed in quant over the last two decades, why th
Vladimir Novakovski – Lighter: The Orderbook for all of Ethereum (S7E22)
In this episode I’m joined by Vladimir Novakovski, founder and CEO of Lighter, a decentralized crypto exchange.To kick off the conversation, we explore Lighter's three big design choices: it’s built as a custom Layer-2 on Ethereum, it relies on zero-knowledge circuits for proving transactions, and it runs with a private sequencer. Don't worry – if that sounds like gibberish, Vlad explains it
Antti Ilmanen - Understanding Return Expectations (S7E21)
In this episode, I speak with Antti Ilmanen, Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management.Antti has long been one of the most thoughtful voices in the world of expected returns, having written not one, but two landmark books on the subject. But in his latest paper series, he returns to the topic with fresh urgency—probing the difference between objective
Chris Carrano – Designing Practical Factor Models (S7E20)
In this episode, I speak with Chris Carrano, Vice President of Strategic Research at Venn by Two Sigma.Chris has had a rare vantage point in the world of factors — spanning smart beta, long/short hedge funds, and risk modeling — and that experience has shaped a thoughtful view of what factors really are and how they can be practically used.We dive into the philosophy and design behind Venn: why it
Jeff Rosenberg – The Past, Present, and Future of Systematic Fixed Income (S7E19)
In this episode I speak with Jeffrey Rosenberg, Managing Director at BlackRock where he leads active and factor investments for mutual funds, ETFs, and institutional portfolios for the Systematic Fixed Income team.In the first half of the conversation we discuss the history of quant fixed income. Specifically, its evolution within the halls of sell-side institutions and how solutions were sha
Edward Yu – Bringing OTC On-Chain and the VariationalOMNI Perp Dex (S7E18)
In this episode I speak with Edward Yu, co-founder of Variational. We begin the conversation with Edward’s background in crypto OTC markets. He explains how the space evolved away from Telegram chats, the complexities of pricing derivative structures on the long-tail of alternative crypto currencies, and the sources of natural flow in the space.This experience led Edward to co-found Vari
Benjamin Hoff – Commodity Futures Surfaces and the Cash-and-Carry Glue (S7E17)
My guest this episode is Benjamin Hoff, Global Head of Commodity Strategy and Research at Société Générale.Ben started his career in rates before making the jump to commodities, and that lens—shaped by curve arbitrage, convexity, and carry—colors everything he does. In this conversation, we explore how commodities differ fundamentally from other asset classes: the importance of cash-and-carry econ
Roxton McNeal and Siddharth Sethi – Building Multi-Strategy QIS Portfolios (S7E16)
My guests today are Roxton McNeal, Managing Director and Head PM of QIS Investments and Siddharth Sethi, portfolio manager and Head of QIS structuring. Together, they’re spearheading the development of QIS-driven solutions at Simplify.In this conversation, we explore what it takes to build and manage a multi-strategy QIS portfolio—from infrastructure requirements to portfolio construction and ris
Scott Phillips - Finding Ugly Edges in Crypto Markets (S7E15)
Scott Phillips is just the second independent trader I’ve interviewed for this show.Like many independent traders, Scott found that his constraints – including the size of their capital pool, the ability to execute trades efficiently, and a lack of supporting infrastructure – made trading anything but loose-pants trend following almost impossible in traditional markets. These constraints led
Thao Tran – Market Making Illiquid, Non-Fungible Assets (S7E14)
Today I’m talking to Thao Tran, Co-founding Partner at Vamient Capital.This episode was born from a question I had watching the NFT market place: how do you make markets in illiquid, non-fungible assets? Clearly people were doing it and I wanted to know how it differed from traditional market making.Several people recommended I speak with Thao, and she was kind enough to oblige, despite NFT marke
Victor Haghani – The Last of the Tactical Allocators (S7E13)
My guest today is Victor Haghani, founder of Elm Wealth.Victor is, in many ways, one of the last tactical asset allocators standing after the 2010s. That might be because Victor wouldn’t categorize himself as such. Rather, he sees his dynamic index investing approach not as a tactical alternative to traditional static portfolios, but as the rational approach for anyone starting from first princi
Jonathan Glidden - Saving Delta's Pension with Portable Alpha
In this episode of the Get StackedInvestment Podcast, Corey and Rodrigo have an insightful conversation withJonathan Glidden, Chief Investment Officer of the Delta Airlines Pension Plan.Since joining in 2011, Jonathan has been pivotal in elevating Delta’s pensionplan funded status from 38% to over 100%. They delve into Jonathan'sunconventional career journey, his implementation of portable alpha s
Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12)
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 bui
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.We begin the conversation with a discussion as to what a quant researcher actually does at a multi-manager hedge
![Talk Your Book: Return Stacking [REPLAY]](https://artwork.captivate.fm/767aa67b-1f53-478e-9761-b09ebe67ebbe/C9jKg-tnbajbclXcbeiJBZqy.jpg)
Talk Your Book: Return Stacking [REPLAY]
On this episode, Ben Carlson and Michael Batnick are joined by Corey Hoffstein of Newfound Research to discuss: managed futures, return stacking, using leverage effectively, and much more!
Kris Abdelmessih - Life Through a Volatility Lens (S7E10)
My guest in this episode is Kris Abdelmessih, co-founder of moontower.ai.Kris began his career at SIG, where he worked as a market maker in several different option pits, before moving to Parallax where he ran a relative value commodities volatility book. For the last five years, Kris has been writing on his blog Party at the Moontower, which is one of my favorite reads for all things probability
Bill Gebhardt - Replicating Discretionary Commodity Trading Systematically (S7E9)
In this episode I speak with Bill Gebhardt, founder of 10Dynamics.Bill spent the better part of his career as a discretionary energies trader, with roles at Koch Industries, Merrill Lynch, Deutsche Bank, and Trailstone. In May 2020 he struck out on his own to co-found 10Dynamics.Given Bill’s fundamental and discretionary background, it may come as a surprise that 10Dynamics runs a fully systemati
Nicolas Mirjolet - Multivariate Trend Following (S7E8)
In this episode, I speak with Nicolas Mirjolet, CEO and Co-Head of Research at Quantica Capital.We begin with Nicolas’s experience operating a statistical arbitrage fund, where he provides his thoughts as to what makes a strategy easier or harder to scale a business on. Nicolas also provides some context for his somewhat counter-intuitive view that the larger players had a bigger edge in this cap
![[PREVIEW] Enter the New World of Return Stacking | Get Stacked Podcast](https://artwork.captivate.fm/c6b9bf65-fb4e-4904-899a-c636c59a5fb3/4ZQk_qlj4-KYr454AjAur2bS.jpg)
[PREVIEW] Enter the New World of Return Stacking | Get Stacked Podcast
Welcome to the inaugural episode of the Get Stacked Investment Podcast. This episode brings together Corey Hoffstein, Rodrigo Gordillo, Mike Philbrick, and Adam Butler to dive deep into the concepts of Return Stacking, market efficiency, and investment strategies beyond traditional stock picking. Providing insights into Return Stacking's relevance in today's investment landscape, the importance of
Markku Kurtti – Diversification is a Negatively Priced Lunch (S7E7)
In this episode I chat with Markku Kurtti, author of the blog Outcast Beta.Markku is classically trained as an electrical engineer and works on receiver algorithms for mobile phones. A passion for investing, however, lead him to pursue an MS in Finance and an interview with Ed Thorp compelled him to devote his time to better understanding compounding processes.This obsession has driven him to dev
Otto van Hemert - Seasonality Everywhere (S7E6)
In today’s episode I speak with Otto van Hemert, Director of Core Strategies at Man AHL.After briefly touching upon Otto’s background, we dive into one of his most popular papers: The Best Strategies for Inflationary Times. Otto shares the inspiration for the research as well as some of what he feels were the less obvious results.Trend strategies, which were a standout winner in the inflation res
Clayton Gillespie - A Fundamental View of Quant Equity (S7E5)
My guest this episode is Clayton Gillespie, VP at Deutsche Bank where he works in quant equity research for the QIS team.Clayton began his career at Credit Suisse HOLT, where he got his hands dirty in extracting fundamental information. This formative experience dramatically impacted how he views how fundamentals should be incorporated into quantitative equity strategies.Today, at DB, he strives
Hari Krishnan – Hedging a Commodity Bull Market (S7E4)
In this episode I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors.This is Hari’s second appearance on the show, but he comes to us with a very different topic: how to develop a low carry hedge for a commodity bull market.Taking a similar line of thinking to his book Market Tremors, Hari evaluates the market through
Nick Baltas - Multi-Asset, Multi-Strategy Portfolios (S7E3)
In this episode I speak with Nick Baltas, Managing Director at Goldman Sachs and head of cross-asset delta one, commodity, and stocks strategies R&D and Structuring. There are three major discussion points in this episode. First, we discuss how Nick thinks about using the broad palette of systematic strategies he has at his disposal to solve the problems of asset owners.Second, we discuss Ni
Bin Ren – text2quant (S7E2)
In this episode I speak with Bin Ren, founder of SigTech, a financial technology platform providing quantitative researchers with access to a state-of-the-art analysis engine.This conversation is really broken into two parts. In the first half, we discuss Bin’s views on designing and developing a state-of-the-art backtesting engine. This includes concepts around monolithic versus modular design,
Charles McGarraugh - "Change in the Market is Accelerating" (S7E1)
In this episode I speak with Charles McGarraugh, Chief Investment Officer of Altis Partners.Charlie finds himself at the helm of Altis from a non-traditional route. His career began at Goldman, where his experience spanned everything from asset backed securities to liquid commodities. He then started a firm specializing in machine-learning driven sports betting before moving into cryptocurrency
Andrew Beer & Adam Butler - Attack of the Managed Futures Clones
In this special episode of Flirting with Models, I’m joined by two guests: Andrew Beer of DBi and Adam Butler of ReSolve Asset Management.Rather than my usual interview format, I wanted to foster a conversation about the replication of managed futures strategies. Specifically, I wanted to bring on two practitioners who both share the same high level beliefs – namely that more investors shoul
Dean Curnutt - The Reflexivity of Equity Volatility (S6E16)
In this episode I speak with Dean Curnutt, founder of Macro Risk Advisors and host of the Alpha Exchange podcast.This episode is all about the nature of risk. More specifically, the endogenous risk that can manifest in markets. We discuss the crash of 1987, Long-Term Capital Management, the Financial Crisis of 2008, the XIV implosion of February 2018, and the 2020 COVID crisis.With these crises
Gerald Rushton - Commodity Strategies (Trend; Carry; Congestion; and Volatility Carry) (S6E15)
In this episode I speak with Gerald Rushton, senior member of the QIS Structuring team at Macquarie Bank.Our conversation largely revolves around commodity strategies, including thoughts on trend following, commodity carry, commodity congestion, and commodity volatility carry. Gerald argues that the latter three are particularly well suited to be paired with equity hedging strategies, and we spen
15 Ideas, Frameworks, and Lessons from 15 Years
Today, August 28th, 2023, my company Newfound Research turns 15. It feels kind of absurd saying that. I know I’ve told this story before, but I never actually expected this company to turn into anything. I started the company while I was still in undergrad and I named it Newfound Research after a lake my family used to visit in New Hampshire. I fully expected the company to
Devin Anderson – Strategy versus Structure in Tail Hedging (S6E14)
My guest is Devin Anderson, co-founder of Convexitas.The theme of this episode, as you can likely guess from the title, is strategy versus structure. While we often focus on strategy specifics on this podcast, Devin hosts a masterclass as to why the structure you wrap your strategy in can ultimately determine the type of strategy you can deliver.Specifically, we discuss option-based tail hedging
Martin Tarlie - Bridging the Gap Between Financial Planning and Portfolio Management (S6E13)
In this episode I speak with Martin Tarlie, a member of the Asset Allocation team at GMO and spearheading their work on Nebo, a goals-based investment platform.Martin describes Nebo as, “bridging the gap between financial planning and portfolio management,” with a key innovation being the reformulation of risk from volatility to not having what you want/need when you want/need it. In other words,
Grug Capital – Grug (Finally) Teaches Us MEV (S6E12)
In this episode I speak with Grug, an anonymous MEV searcher on the Ethereum blockchain. If that sentence made no sense to you, I promise this will be a fun episode.To begin the conversation, Grug explains the basic architecture of the Ethereum blockchain and how its structure allows for the emergence of MEV strategies like sandwich attacks, arbitrage, and liquidations. He discusses some of the
Doug Greenig - At the Frontier of Trend Following
My guest this episode is Doug Greenig, CEO and CIO of Florin Court Capital. Florin Court specializes in delivering an alternative markets CTA, trading over 500 markets ranging from Turkish cross currency swaps to French power markets. We spend the majority of the conversation discussing what makes these markets unique from traditional markets traded by CTAs. For example, who are the players in
Return Stacked® Bonds & Managed Futures ETF
In this episode, Corey Hoffstein, CIO of Newfound Research, Rodrigo Gordillo, President of ReSolve Global* and Adam Butler, CIO of ReSolve Global, delve into the concept of return stacking and introduce the innovative RSBT Return Stacked™ Bonds & Managed Futures ETF.This podcast is essential for investors, financial advisors, and anyone interested in learning more about return stacking, the RS
Pim van Vliet – A Detailed Dive into Low Volatility Investing (S6E10)
Today I speak with Pim van Vliet, Head of Conservative Equities at Robeco.It will come as no surprise, to those who know Pim’s work, that we spend the majority of this conversation talking about conservative investing. Specifically, we discuss the low volatility anomaly. But rather than rehash the usual high level talking points, I wanted to dig into the more practical considerations.For example
Asif Noor – Modern Systematic Macro (S6E9)
In this episode I speak with Asif Noor, Portfolio Manager at Aspect Capital where he oversees the firm’s Multi-Strategy Program.Asif has spent the last 25 years of his career developing systematic macro strategies, giving him a depth and breadth of experience to understand what it takes to remain competitive in the space.While a handful of low frequency signals may have been sufficient a few decad
Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
My guest is Rob Croce, Senior Portfolio Manager at Newton Investment Management Group. This episode is all about what Rob considers to be the two super factors: trend and carry. More importantly, how Rob uses them to inform how risk is taken within asset classes, across asset classes, and over time. Rob is not afraid to get in the weeds, either. For example, on the trend side we discuss details
Michele Aghassi - Unintended Bets Everywhere (S6E7)
In this episode I speak with Michele Aghassi, principal at AQR Capital Management where she serves as a portfolio manager for the firm’s equity strategies. The conversation spans three major points: optimization, the opportunity in emerging equities today, and factor investing. While these are the headline topics, the underlying theme of the conversation, in my opinion, is the idea of unintended
Jason Josephiac - Portable Alpha and Risk Mitigating Strategies (S6E6)
In this episode I chat with Jason Josephiac, Senior Vice President and Research Consultant at Meketa Investment Group. Jason has largely spent his career in the institutional allocation space, first in manager research at United Technology’s pension and now on the consulting side of the table. Given this background, I spend the first half of the conversation trying to peel back the layers of how
Macrocephalopod - Managing a Mid-Frequency Crypto Prop Desk (S6E5)
In this episode I speak with the anonymous twitter user @macrocephalopod. The arc of our conversation follows the arc of his career: beginning with slow-frequency style premia in a hedge fund to building a prop desk that trades mid-to-high frequency strategies in crypto. A large part of the conversation can be characterized as comparing and contrasting the roles through the lenses of research, ope
Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)
My guest is Roni Israelov, CIO of NDVR. Prior to NDVR, Roni was a principal at AQR Capital Management, where he worked on global risk models, high frequency factors, and lead the development and oversight of options-oriented strategies. Taking a page from Roni’s career and research, our conversation is far ranging. We discuss topics from global asset risk models to the application of high freque
Doug Colkitt - High Frequency Trading, MEV Strategies, and CrocSwap (S6E3)
Doug Colkitt is an ex-high frequency trader, ex-MEV bot searcher, and founder of the decentralized exchange CrocSwap. In this episode, we talk about all three. We begin with high frequency trading, where Doug walks us through the differences between maker and taker strategies, why queue position is so critical for makers, and why volatility is a high frequency trader’s best friend. We then discus
Jeff Yan - High Frequency Crypto Market Making & the Hyperliquid Exchange (S6E2)
My guest this episode is Jeff Yan, founder of Chameleon Trading. Jeff began his career in high frequency trading at Hudson River Trading but soon moved over to the world of crypto where he built one of the largest market making firms in the space. After Jeff gets me up to speed with the basics of high frequency market making, we dive into some of the more esoteric components, particularly with r
Jason Buck - Designing the Cockroach Portfolio (S6E1)
Jason Buck is the co-founder and CIO of Mutiny Funds and maybe one of the most interesting people I know. Jason made, and subsequently lost, a fortune in commercial real estate in the 2008 crash. This “ego destroying event” was the catalyst for him to completely rethink the idea of resiliency, both in business and investments. Jason spent the better part of the 2010s developing the Cockroach port
Machine learning isn't the edge; it enhances the edge you’ve developed
There is no doubt that the tools of machine learning and the promise of artificial intelligence has captured the imagination of quantitative researchers everywhere. But I am aware of few fund managers who have wholesale adopted the ideas into their investment stack as thoroughly as Angus Cameron. In this dive back into the archives, we return to Season 4, Episode 6 where I spoke with Angus about
What does a full-stack quant research platform and process look like?
In our industry, we’re all too often guilty of asking, “what is your alpha,” rather than, “what is your process for finding alpha?” Yet, in the long run, it is the process that is important. I’m equally guilty of this. In the history of this podcast, I’ve probably overemphasized the outcome of research versus the process of research. There are a few exceptions, though. And in this dive into t
What would Cliff Asness ask St. Peter at the pearly gates?
In July 2020 I interviewed Cliff Asness, co-founder of AQR. This was several months after he penned a perspective piece titled The Valuesburg Address, where he waxed poetic about the multi-year drawdown in the value factor. Nearly three years later, he recently wrote the perspective piece titled, The Bubble Has Not Popped. I say wrote, but it is just a single image of the value spread between g
A data-driven approach to picking growth stocks and thematic baskets
It’s no secret that high flying growth stocks were hammered in 2022, so I thought it would be fun to revisit my conversation with Jason Thomson back in Season 3. Jason is a portfolio manager at O’Neil Global Advisors, where he manages highly concentrated portfolios of growth stocks. Now, Jason is a discretionary PM, which may seem like an unusual guest for a quant podcast. But his approach is s
How quants have changed equity markets and how discretionary managers can use this information to sharpen their edge
After March 2020, a growing research interest of mine was the question, “how do strategies reflexively impact the markets they trade?” Beyond crowding risk, can adoption of strategies fundamentally change market dynamics. In Season 3 Episode 11, I spoke with Omer Cedar, who argues that equity quants have done precisely that. The mass adoption of factor models, whether for alpha or risk, fundamen
Replacing linear factors with a non-linear, characteristic approach in quant equity
We’re back with another clip from the archives. This time it’s Season 4 Episode 9 with Vivek Viswanathan. For three decades, equity quants have largely lived under the authoritative rule of the Fama-French 3 Factor Model and linear sorts. In this episode, Vivek provides an cogent alternative to the orthodoxy. Specifically, he explains why an unconstrained, characteristic-driven portfolio can mo
Options, volatility, and the things we don't know we don't know (ARCHIVES S3E3)
We’re rewinding to Season 3, Episode 3 to chat with Benn Eifert, founder of QVR. Benn was my first repeat guest and this is probably one of our more popular episodes. Instead of the usual interview format, I called this episode “Bad Ideas with Benn Eifert,” and basically just asked him a bunch of questions about naive option trades and whether they are a good idea or not. For anyone starting the
Formulating the machine learning problem, how research questions should be asked, and the trade-off of complexity versus accuracy (ARCHIVES S1E7)
We’re trying something new here, folks. I’ve got 5 seasons and 60 brilliant episodes and I thought it would be fun, in the off season, to go back to the archives and highlight past conversations. So using my trusty random number generator, I chose an episode at random. So, we’re going back to 2018 to my conversation with John Alberg, co-founder of Euclidean Technologies, where machine learning i
Giuliana Bordigoni - Alternative Markets & Specialist Strategies (S5E14)
In this episode I speak with Giuliana Bordigoni, Director of Specialist Strategies at Man AHL. In her role, Giuliana oversees the firm’s strategies that require specialist knowledge. This includes, for example, alternative markets, options trading, credit, and machine learning. We spend a good deal of time discussing alternative markets, a focus of Giuliana’s in both her current role and her prio
Adam Butler - Questioning the Quant Orthodoxy (S5E13)
In this episode I speak with Adam Butler, co-founder and CIO of ReSolve Asset Management. For full disclosure, at the time of recording I am personally an investor in one of ReSolve’s private funds. Adam last joined the show in Season 1, where we discussed his background and philosophy of diversification. This episode begins with a discussion of how Adam’s thinking and process has evolved over t
Kevin Cole - Systematic Multi-Strategy from 100+ Models (S5E12)
In this episode I speak with Kevin Cole, CEO and CIO of Campbell & Company. In the first half of the conversation, we discuss Campbell’s flagship systematic multi-strategy program. We cover topics including trend-following versus multi-strategy, the taxonomy of alpha signals, the concept of edge when you’re running hundreds of models, the process for introducing and sunsetting signals, and risk
Hari Krishnan - Market Tremors & Tail Hedging (S5E11)
Today I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors. We begin with a discussion of Hari’s newest book, Market Tremors, and the main theoretical idea: Mean Field Theory. Hari lays out both the philosophical underpinnings of the concept as well as how one might interpret it in practice. This leads into a natura
Harel Jacobson - Trading FX Volatility (S5E10)
In this episode I speak with Harel Jacobson, an FX volatility trader. There is a lot that makes the FX volatility market unique. For starters, the end users are more focused on hedging cash-flow and liquidity than wealth. Since the underlying is currency pairs, volatility surface arbitrage conditions become multi-dimensional. And then there is the global geopolitical event calendar to consider.
Andrew Beer - Replicating Hedge Fund Beta (S5E9)
My guest in this episode is Andrew Beer, co-founder of Dynamic Beta Investments. Andrew has spent the last 15 years trying to pioneer the adoption of hedge fund replication strategies. The core thesis is that several hedge fund categories can be dynamically replicated using just a handful of liquid market exposures and some regression techniques. He argues that if he can deliver the strategy bet
Antti Ilmanen - Unexpected Returns (S5E8)
My guest in this episode needs no introduction: Antti Ilmanen, co-head of Portfolio Solutions at AQR, award winning researcher, and author of the books Expected Returns and the recently published Investing Amid Low Expected Returns. A decade has passed since Antti wrote his first book, providing both a decade of out-of-sample data as well as a decade of new research. I begin by asking Antti about
Ralph Smith - Scientific Investing in Fixed Income (S5E7)
My guest this episode is Ralph Smith, Head of Research at BlueCove. BlueCove offers long-only and market-neutral mandates in corporate credit and interest rate markets, with an emphasis on utilizing a scientific approach to portfolio construction. We spend the episode discussing how the unique nature of fixed income markets present both opportunities and risks. For example, how the differing brea
Kai Wu - Mining Unstructured Data for the Intangible (S5E6)
My guest in this episode is Kai Wu, CEO and founder of Sparkline Capital. Kai is a pioneer in the measurement of intangible value. Using machine learning, he tackles unstructured data sources like patent filings, earnings transcripts, LinkedIn network connections, and GitHub code repositories to try to measure value across the four key pillars of Brand, Intellectual Property, Network, and Human C
David Sun - Expectancy Hacking (S5E5)
Today I speak with David Sun, a retail trader who started his own hedge fund. Coming from a non-traditional background, David takes a non-traditional approach in his investment mandates. Focused on selling options to capture the volatility risk premium, David believes that markets are ultimately efficient and therefore foregoes using any sort of active signal. Instead, he focuses on explicitly c
Aneet Chachra - Surfing Flow for Fun and Profit (S5E4)
In this episode I talk with Aneet Chachra, fund manager at Janus Henderson. In his role, Aneet runs flow-driven strategies. These are strategies that seek to find an edge in market events where trading volume creates a predictable pressure on price, such as index additions or deletions, corporate buybacks or issuance, or even the rebalancing of target date funds. Our conversation is wide ranging
Moritz Seibert & Moritz Heiden - From CTA to web3 (S5E3)
In this episode, I speak with the Twoquants: Moritz Seibert and Moritz Heiden. There are really two halves to this episode. In the first, we discuss trend following strategies at length. We cover the usual topics of signals, speeds, and portfolio construction before diving into some niche views, such as synthetic assets, spread trades, and alternative roll schedules. In the second half, we pivot
LightSpringFox - Crypto Market Making (S5E2)
In a first for Flirting with Models, my guest this episode is anonymous, going only by the handle LightSpringFox on Twitter. Mr. Fox is a quantitative trader who works in crypto market making at MGNR. Mr. Fox did not begin his career in crypto, nor even in market making. Rather, his background is in traditional equity factor investing, and so we spend a good deal of comparing and contrasting th
Michael Green - The Active Impact of Passive Investing (S5E1)
In this episode I speak with Michael Green, Chief Strategist as Simplify ETFs. In a first for the Flirting with Models podcast, we recorded this episode live at the ETF Exchange in Miami in early April 2022. Given Michael’s eclectic background, our conversation is wide ranging. He has traded everything from small-cap value to commodities to housing derivatives to long volatility, and so we try
David Berns - How do you build a portfolio for a human being? (S4E16)
In this episode I speak with David Berns, co-founder and CIO of Simplify ETFs and author of the book Modern Asset Allocation for Wealth Management. Our conversation centers around the idea of what it means to build a portfolio for a human being. This concept arises both technically and philosophically in David’s work, where he emphasizes the importance of higher return moments in portfolio optimiz
Russell Korgaonkar - Optimizing the Research Process (S4E15)
Today I am speaking with Russell Korgaonkar, CIO of Man AHL. In his role, Russell oversees a large research organization and so we spend a large part of our conversation talking about research management. Russell provides his thoughts on topics such as determining which projects to take on, quantifying investments in technology, data, and people, how to avoid group think, and how to incentivize bo
Andrew Lapthorne - Thematic Baskets and Strong Balance Sheets (S4E13)
Andrew Lapthorne is the Head of Quantitative Equity Research at SocGen, a role he’s held for nearly 14 years. Given the breadth of topics covered by bank research, it should be no surprise that this conversation takes some wide swings as well. We discuss everything from thematic baskets to style premia and machine learning to ESG. One of my favorite parts of the conversation is when Andrew discuss
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