Flirting with Models

Corey Hoffstein
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Flirting with Models

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. For more on Newfound Research, visit www.thinknewfound.com.

  1. Victor Haghani – The Last of the Tactical Allocators (S7E13)

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    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 principles. This conversation dances between theory and implementation. Victor is just as comfortable sharing his thoughts on where equity market risk comes from as he is defending payout-adjusted CAPE as a metric for forecasting long-run returns. If you’re passionate about asset allocation, you’ll find lots to think about in this one. Please enjoy my conversation with Victor Haghani.

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  2. Jonathan Glidden - Saving Delta's Pension with Portable Alpha

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    Jonathan Glidden - Saving Delta's Pension with Portable Alpha

    In this episode of the Get Stacked Investment Podcast, Corey and Rodrigo have an insightful conversation with Jonathan Glidden, Chief Investment Officer of the Delta Airlines Pension Plan. Since joining in 2011, Jonathan has been pivotal in elevating Delta’s pension plan funded status from 38% to over 100%. They delve into Jonathan's unconventional career journey, his implementation of portable alpha strategies, and share valuable lessons learned from turbulent financial periods such as 2008 and 2020. Whether you're a seasoned investor or new to the concept of portable alpha, this episode provides a masterclass on optimizing pension plan management through innovative investment strategies.

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  3. Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12)

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    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 built in-house. We spend the majority of the conversation peeling apart the layers of Farouk’s 5-step process for implementing alternative risk premia strategies. He shares his thoughts on how to classify different premia, why thoughtfully-constructed peer groups are an important evaluation tool, how to go about selecting specific strategies, how to construct portfolios of alternative risk premia, and the actual rubber-meets-road implementation practicalities. Please enjoy my conversation with Farouk Jivraj.

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  4. Giuseppe Paleologo - Multi-Manager Hedge Funds & Thinking Deeply About Simple Things (S7E11)

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    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 fund. As a semi-support role to the fundamental PMs, Gappy explains how portfolio manager coverage, factor hedging, and internal alpha capture can all work together to help maximize firm P&L. We then discuss the broad field of factor research and portfolio construction, where Gappy shares some of his strongly held views, both on how factors should be constructed as well as how they should be utilized. Topics include returns versus characteristics, mixing versus integrating alpha signals, single- versus multi-period optimization, and linear- versus non-linear models. Please enjoy my conversation with Giuseppe Paleologo.

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  5. Talk Your Book: Return Stacking [REPLAY]

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    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!

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  6. Kris Abdelmessih - Life Through a Volatility Lens (S7E10)

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    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, payoff space, trading, optionality, and seeing the world through a volatility lens. Kris is a passionate educator, so it should come as no surprise that learning is a key thread throughout this entire episode. Kris discusses how learning is accelerated in the pits and how we can think about replicating it in electronic space. Kris discusses what he had to unlearn and relearn in his move from market making to relative value trading. He also shares his thoughts about how firm lineage influences how you learn to trade markets. Finally, we discuss Kris’s newest venture, moontower.ai, which seeks to provide a “volatility lens” to opinionated traders to help them better express their bets in option space. There is a lot of experience to unpack in this one. I hope you enjoy my conversation with Kris Abdelmessih.

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  7. Bill Gebhardt - Replicating Discretionary Commodity Trading Systematically (S7E9)

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    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 systematic process. This dichotomy serves as the foundation for much of our conversation, where Bill provides insight into where and how his discretionary background informs the systematic process, both from a signal and a risk management perspective. We discuss the types of signals 10Dynamics incorporates into their process, how their risk management system is designed to reflect Bill’s experience managing discretionary traders, and how they’ve designed their operational risk management to allow them to trade intraday with a small team. Please enjoy my conversation with Bill Gebhardt.

    ٥٢ من الدقائق
  8. Nicolas Mirjolet - Multivariate Trend Following (S7E8)

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    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 capital constrained space. We then transition to Quantica’s flagship managed futures program. Nicolas explains that while Quantica is a price-based trend follower, they apply a multivariate approach to their signal analysis. We discuss how the approach works and how it contrasts against a standard univariate approach. Specifically, Nicolas shares his thoughts on how the multivariate approach impacts the portfolio return profile and why you may want more or fewer variables in your signal universe than your tradable market universe. We end the conversation with Quantica’s most recent quarterly research paper, which provides quantitative insight into the convexity versus robustness tradeoff trend managers make when they add more markets to their portfolio. Please enjoy my conversation with Nicolas Mirjolet.

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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. For more on Newfound Research, visit www.thinknewfound.com.

المعلومات

  • صناع العمل
    Corey Hoffstein
  • سنوات النشاط
    ١٤٣٩ هـ - ١٤٤٦ هـ
  • الحلقات
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    © Copyright 2024 Corey Hoffstein
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    Flirting with Models

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