Flirting with Models
99 episodes - English - Latest episode: 2 days ago - ★★★★★ - 209 ratingsFlirting 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.
For more on Newfound Research, visit www.thinknewfound.com.
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Episodes
Markku Kurtti – Diversification is a Negatively Priced Lunch
April 22, 2024 22:11 - 57 minutes - 53 MBIn 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 develop a number of analytical and numerical models that provide differentiated insights into t...
Otto van Hemert - Seasonality Everywhere
March 25, 2024 04:00 - 47 minutes - 43.1 MBIn 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 resilience horse race, serve as the bridge to a discussion on seasonality. Interestingly, Otto...
Clayton Gillespie - A Fundamental View of Quant Equity (S7E5)
February 05, 2024 04:00 - 56 minutes - 38.5 MBMy 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 to improve quantitative equity strategies by anchoring them with a strong fundamental unders...
Hari Krishnan – Hedging a Commodity Bull Market (S7E4)
January 08, 2024 04:00 - 54 minutes - 37.4 MBIn 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 the perspective of both commodity producers and consumers. By understanding their business...
Nick Baltas - Multi-Asset, Multi-Strategy Portfolios (S7E3)
December 26, 2023 12:56 - 1 hour - 47.3 MBIn 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 Nick’s research on cross-asset skewness. Less commonly discussed among multi-asset strategies, Ni...
Bin Ren – text2quant (S7E2)
December 11, 2023 12:36 - 1 hour - 52.7 MBIn 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, how tightly coupled the engine and data should be, and the blurred line between where a strat...
Charles McGarraugh - "Change in the Market is Accelerating" (S7E1)
December 04, 2023 21:32 - 1 hour - 49.9 MBIn 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 markets. Today, Charlie is betting that alternative strategies will play an increasingly impo...
Andrew Beer & Adam Butler - Attack of the Managed Futures Clones
September 25, 2023 04:00 - 1 hour - 59.3 MBIn 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 should allocate to managed futures, that managed futures are well suited for replication, and that repli...
Dean Curnutt - The Reflexivity of Equity Volatility (S6E16)
September 11, 2023 04:00 - 1 hour - 53.8 MBIn 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 in mind, we touches upon topics such as reflexivity, crowding, risk recycling, and the evolv...
Gerald Rushton - Commodity Strategies (Trend; Carry; Congestion; and Volatility Carry) (S6E15)
September 04, 2023 04:00 - 48 minutes - 66.2 MBIn 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 spend quite a bit of time discussing the major design levers behind each strategy. Gerald also pr...
15 Ideas, Frameworks, and Lessons from 15 Years
August 28, 2023 16:17 - 33 minutes - 23.1 MBToday, 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 be shut down within a year and just go on to a career on Wall Street. But here we are, 15 years later. I’m not su...
Devin Anderson – Strategy versus Structure in Tail Hedging (S6E14)
August 14, 2023 04:00 - 1 hour - 48.5 MBMy 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 and the types of strategies that can be delivered in hedge fund, mutual fund, ETF, and separ...
Martin Tarlie - Bridging the Gap Between Financial Planning and Portfolio Management (S6E13)
August 07, 2023 04:00 - 55 minutes - 37.9 MBIn 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, constraints on both wealth target and horizon. This reformulation of the core problem introd...
Grug Capital – Grug (Finally) Teaches Us MEV (S6E12)
July 24, 2023 04:00 - 47 minutes - 32.3 MBIn 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 criteria he looks for when identifying a profitable MEV strategy and provides examples of so...
Doug Greenig - At the Frontier of Trend Following
July 17, 2023 04:00 - 1 hour - 42.4 MBMy 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 these markets, what are the unique considerations for introducing and sunsetting markets, an...
Return Stacked® Bonds & Managed Futures ETF
July 11, 2023 00:06 - 1 hour - 62.5 MBIn 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 RSBT ETF, and the potential benefits of combining bonds and managed futures for portfolio diversific...
Pim van Vliet – A Detailed Dive into Low Volatility Investing (S6E10)
July 03, 2023 04:00 - 1 hour - 46.7 MBToday 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, how are low volatility and low beta different? How do selection and allocation effects co...
Asif Noor – Modern Systematic Macro (S6E9)
June 26, 2023 04:00 - 46 minutes - 32.1 MBIn 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 decades ago, today Aspect’s Multi-Strategy Program incorporates hundreds of alpha forecasts rangi...
Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
June 19, 2023 08:00 - 54 minutes - 37.7 MBMy 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 such as how to combine trend signals of different speeds, how to balance the probability of ...
Michele Aghassi - Unintended Bets Everywhere (S6E7)
June 12, 2023 08:00 - 54 minutes - 37.7 MBIn 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 bets. More specifically, how controlling for unintended bets, whether through optimization...
Jason Josephiac - Portable Alpha and Risk Mitigating Strategies (S6E6)
June 05, 2023 08:00 - 57 minutes - 39.7 MBIn 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 Jason thinks allocators should attack the portfolio construction process. This includes hi...
Macrocephalopod - Managing a Mid-Frequency Crypto Prop Desk (S6E5)
May 29, 2023 08:00 - 1 hour - 42.4 MBIn 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, operations, and risk management. For example, in what ways is long/short equity meaningfully d...
Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)
May 22, 2023 08:00 - 1 hour - 59.9 MBMy 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 frequency signals to tail risk hedging. While there are insights to glean in each of these topics, ...
Doug Colkitt - High Frequency Trading, MEV Strategies, and CrocSwap (S6E3)
May 15, 2023 08:00 - 1 hour - 42.1 MBDoug 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 discuss Ethereum-based MEV strategies. Doug explains what MEV is, how the architecture of the Eth...
Jeff Yan - High Frequency Crypto Market Making & the Hyperliquid Exchange (S6E2)
May 08, 2023 08:00 - 1 hour - 50 MBMy 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 respect to centralized crypto exchanges. These include infrastructure quirks, adversarial al...
Jason Buck - Designing the Cockroach Portfolio (S6E1)
May 01, 2023 08:00 - 55 minutes - 38.3 MBJason 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 portfolio, a modern take on Harry Brown’s permanent portfolio. A quarter stocks, a quarter bond...
Machine learning isn't the edge; it enhances the edge you’ve developed
February 27, 2023 09:00 - 8 minutes - 32.8 MBThere 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 his background as a discretionary macro trader and his evolution into a fully systematic, mach...
What does a full-stack quant research platform and process look like?
February 13, 2023 09:00 - 18 minutes - 51.9 MBIn 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 the archives, I wanted to return to Season 2, when I spoke with Chris Meredith, Co-Chief Inve...
What would Cliff Asness ask St. Peter at the pearly gates?
January 30, 2023 09:00 - 19 minutes - 36 MBIn 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 growth and value, adjusted for just about every possible noise factor you can imagine. The spr...
A data-driven approach to picking growth stocks and thematic baskets
January 23, 2023 09:00 - 14 minutes - 25.6 MBIt’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 so data and process driven, it’s hard to tell the difference. I selected a few questions ...
How quants have changed equity markets and how discretionary managers can use this information to sharpen their edge
January 16, 2023 09:00 - 18 minutes - 34.6 MBAfter 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, fundamentally changed how baskets of stocks are bought and sold. For a discretionary manager to ignor...
Replacing linear factors with a non-linear, characteristic approach in quant equity
January 09, 2023 09:00 - 21 minutes - 38.6 MBWe’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 more efficiently capture behavioral-based market anomalies. I think this is a master class for ...
Options, volatility, and the things we don't know we don't know (ARCHIVES S3E3)
January 02, 2023 09:00 - 18 minutes - 33.7 MBWe’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 their journey with options or volatility, the whole episode is a must listen. The clips I c...
Formulating the machine learning problem, how research questions should be asked, and the trade-off of complexity versus accuracy (ARCHIVES S1E7)
December 29, 2022 17:51 - 15 minutes - 29.2 MBWe’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 is applied to the value investing problem. The part I’m highlighting starts around minute 2...
Giuliana Bordigoni - Alternative Markets & Specialist Strategies (S5E14)
October 24, 2022 08:00 - 42 minutes - 29 MBIn 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 prior as the Head of Alternative Markets. We discuss the potential benefits and challenges of i...
Adam Butler - Questioning the Quant Orthodoxy (S5E13)
October 03, 2022 08:00 - 1 hour - 58.2 MBIn 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 the last four-plus years, much of which is centered around the idea of experimental design. Ad...
Kevin Cole - Systematic Multi-Strategy from 100+ Models (S5E12)
August 29, 2022 08:00 - 51 minutes - 35.2 MBIn 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 management. With such a strong focus on quantitative research, we spend the latter half of ...
Hari Krishnan - Market Tremors & Tail Hedging (S5E11)
August 08, 2022 15:23 - 1 hour - 44.1 MBToday 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 ide...
Harel Jacobson - Trading FX Volatility (S5E10)
August 01, 2022 08:00 - 52 minutes - 36.1 MBIn 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 p...
Andrew Beer - Replicating Hedge Fund Beta (S5E9)
July 25, 2022 08:00 - 55 minutes - 38 MBMy 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 co...
Antti Ilmanen - Unexpected Returns (S5E8)
July 18, 2022 08:00 - 1 hour - 56.1 MBMy 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, howe...
Ralph Smith - Scientific Investing in Fixed Income (S5E7)
July 11, 2022 08:00 - 1 hour - 41.2 MBMy 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 tha...
Kai Wu - Mining Unstructured Data for the Intangible (S5E6)
July 03, 2022 08:00 - 50 minutes - 34.6 MBMy 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 ...
David Sun - Expectancy Hacking (S5E5)
June 27, 2022 08:00 - 50 minutes - 34.6 MBToday 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 t...
Aneet Chachra - Surfing Flow for Fun and Profit (S5E4)
June 20, 2022 08:00 - 1 hour - 42.7 MBIn 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 mar...
Moritz Seibert & Moritz Heiden - From CTA to web3 (S5E3)
June 13, 2022 08:00 - 1 hour - 48.3 MBIn 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 Dig...
LightSpringFox - Crypto Market Making (S5E2)
June 06, 2022 08:00 - 48 minutes - 33 MBIn 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 uni...
Michael Green - The Active Impact of Passive Investing (S5E1)
May 30, 2022 08:00 - 1 hour - 43.7 MBIn 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 t...
David Berns - How do you build a portfolio for a human being? (S4E16)
August 16, 2021 14:00 - 46 minutes - 31.9 MBIn 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...
Russell Korgaonkar - Optimizing the Research Process (S4E15)
August 09, 2021 14:00 - 56 minutes - 38.4 MBToday 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. I...