Flirting with Models

Markets and Investing

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Location:

United States

Genres:

Markets and Investing

Description:

Twitter:

@choffstein

Language:

English

Contact:

6175319773

Website:

http://www.flirtingwithmodels.com/podcast

Email:

info@thinknewfound.com

Episodes

Hari Krishnan - Market Tremors & Tail Hedging (S5E11)

8/8/2022

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 natural discussion of dominant agents, including examples of who they are, how we might go about...

Duration:01:03:52

Harel Jacobson - Trading FX Volatility (S5E10)

8/1/2022

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. Did I mention that trades are performed, almost exclusively, OTC? So even something like price...

Duration:00:52:03

Andrew Beer - Replicating Hedge Fund Beta (S5E9)

7/25/2022

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 beta while cutting out hundreds of basis points of management fees and trading costs, it would...

Duration:00:54:50

Antti Ilmanen - Unexpected Returns (S5E8)

7/18/2022

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 where his conviction has hardened and the things he’s changed his mind about. From there,...

Duration:01:21:14

Ralph Smith - Scientific Investing in Fixed Income (S5E7)

7/11/2022

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 breadth and liquidity in corporate credit versus rates markets impacts the types of strategies that...

Duration:00:59:29

Kai Wu - Mining Unstructured Data for the Intangible (S5E6)

7/3/2022

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 Capital. We discuss why intangibles are important, how they differ from the traditional factor...

Duration:00:49:53

David Sun - Expectancy Hacking (S5E5)

6/27/2022

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 controlling his win size relative to his loss size, and then choosing a strategy with a win rate...

Duration:00:49:57

Aneet Chachra - Surfing Flow for Fun and Profit (S5E4)

6/20/2022

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, from the basics of how Aneet categorizes these types of trades, to views on how changing market...

Duration:01:01:43

Moritz Seibert & Moritz Heiden - From CTA to web3 (S5E3)

6/13/2022

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 to discuss crypto markets, as the Moritzes now serve as CIO and CTO for the Exponential Age...

Duration:01:09:54

LightSpringFox - Crypto Market Making (S5E2)

6/6/2022

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 the low- and high-frequency domains. We also discuss the nature of market making edges, the unique...

Duration:00:47:37

Michael Green - The Active Impact of Passive Investing (S5E1)

5/30/2022

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 to find the common elements and themes across his career. One that sticks out is his quote that...

Duration:01:03:15

David Berns - How do you build a portfolio for a human being? (S4E16)

8/16/2021

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 optimization, but goes about achieving this end through more holistic risk preference analysis. David...

Duration:00:45:56

Russell Korgaonkar - Optimizing the Research Process (S4E15)

8/9/2021

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 both researchers and reviewers. There is tremendous organizational alpha to be gleaned here. In...

Duration:00:55:27

Andrew Lapthorne - Thematic Baskets and Strong Balance Sheets (S4E13)

7/26/2021

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 discusses his research into strong balance sheet names in U.S. small-cap equities. For all the depth...

Duration:00:59:43

Bryn Solomon - Exploiting Fat Finger Errors in Cryptopunks (S4E14)

7/21/2021

Bryn Solomon is the co-founder and CEO of MGNR, a quantitative cryptocurrency asset manager with arms in market making, discretionary trading, DeFi yield farming, and venture capital. Our conversation touches on all these arms, exploring their key differences from traditional markets, sources of edge and opportunity, and the risks unique to the cryptocurrency markets. A recurring theme within the conversation is how the pace of innovation in cryptocurrency presents both opportunities and...

Duration:01:00:39

Greg Obenshain - Quantitative Credit (S4E12)

7/19/2021

In this episode I chat with Greg Obenshain, Partner and Director of Credit at Verdad Capital. Prior to joining Verdad, Greg worked as the high-yield portfolio manager at Apollo Global Management and Stone Tower Capital. Despite his background as a fundamental analyst, Greg is a quant convert. His ideas are still grounded in a strong fundamental understanding of what it means to invest in credit, but in a sector where even just acquiring data may be an edge, he lets the data speak for...

Duration:00:52:56

Roxton McNeal - Liability-Driven Investing (S4E11)

7/12/2021

In this episode I speak with Roxton McNeal, Head of Multi Asset Investment Strategy & Allocation at the UPS Investment Trust. Before landing at UPS, Roxton’s career took him through the world of CTAs, developing hedge models for bonny light oil, and working in asset/liability management at General Motors. Each of these roles likely deserves its own podcast, but I do my best to pull a nugget of wisdom from each experience. Where we spend the bulk of the conversation is in Roxton’s current...

Duration:01:01:26

Vivek Viswanathan - Quant Equity in China (S4E10)

7/5/2021

Vivek Viswanathan is the Head of Research at Rayliant Global, a quantitative asset manager focused on generating alpha from investing in China and other inefficient emerging markets. Our conversation circles around three primary topics. The first is the features that make China a particularly attractive market for quantitative investing and some of the challenges that accompany it. The second is Vish’s transition from a factor-based perspective to an unconstrained, characteristic-driven...

Duration:01:11:09

Tobias Carlisle - Realism Over Idealism in Value (S4E9)

6/28/2021

My guest this episode is Tobias Carlisle, author, podcast host, and founder of Acquirers Funds. Toby joined me in Season 1 where we discussed his background and overall investment philosophy. In this episode, we dive right into the well-documented woes of value investing. Rather than rehash the usual narratives, however, I wanted to get Toby’s views as to how this environment is unique. We spend time discussing relative versus absolute cheapness, the potentially arbitrary constraints of...

Duration:01:17:29

Sam Trabucco - Perpetual Swaps, Liquidation Cascades, and the USD-BTC-YEN Triangle Trade (S4E8)

6/20/2021

In this episode I speak with Sam Trabucco from Alameda Research. Alameda manages over $100mm in digital assets and trades between $600mm and $1.5bn per day. We begin our conversation with a discussion around the features that distinguish crypto markets from traditional markets. What becomes a recurring theme in the conversation is how decentralization and fragmentation present both an opportunity and a challenge. Sam provides some color into the easiest and hardest alpha he’s earned,...

Duration:00:55:31