Flirting with Models

Corey Hoffstein
  • 4.9 (227)
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  • 一周一更

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. Antti Ilmanen - Understanding Return Expectations (S7E21)

    1天前

    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 and subjective expectations, and asking why even rational models can go so wrong in real time. We explore everything from CAPE ratios and market timing accusations, to why equity investors tend to extrapolate while bond investors expect mean reversion. We dig into how behavioral biases, valuation anchors, and structural shifts collide when forming capital market assumptions—and how Antti and the AQR team try to navigate that mess themselves. If you’re in the business of long-term forecasting or just curious why markets often act like they’ve never read the textbooks, this is a conversation you won’t want to miss. Please enjoy my conversation with Antti Ilmanen.

    1 小时 14 分钟
  2. Chris Carrano – Designing Practical Factor Models (S7E20)

    9月2日

    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 uses just 18 orthogonalized factors, how it blends Lasso and OLS to reduce overfitting, and why it prioritizes interpretability over complexity. We also tackle messy real-world challenges: how to analyze private markets with sparse data, how to trust synthetic return streams, and where to draw the line when using monthly snapshots that embed structural portfolio shifts. Finally, we explore what it means to make factor results actionable—whether through stress testing, residual interpretation, or portfolio diagnostics. Please enjoy my conversation with Chris Carrano.

    56 分钟
  3. Jeff Rosenberg – The Past, Present, and Future of Systematic Fixed Income (S7E19)

    8月18日

    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 shaped by demand for underwriting, securitization, and derivatives. We then make the leap to the buyside, where Jeff outlines the topology of systematic fixed income solutions at BlackRock. We quickly dive into the details, discussing topics such as: why factor investing exists predominately in the credit space, why characteristic specificity within the fixed income space is so important, why quant fixed income needs more PMs but fewer researchers than quant equity, how ETFs changed the liquidity landscape, and whether the equity pod-shop model is possible for fixed income.   What ultimately becomes clear, through both explanation and example, is that while the terms and ideas of systematic fixed income will be familiar to those in the quant equity space, the Devil lies deeply in the details of implementation. I hope you enjoy my conversation with Jeff Rosenberg.

    1 小时 18 分钟
  4. Edward Yu – Bringing OTC On-Chain and the VariationalOMNI Perp Dex (S7E18)

    7月30日

    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 Variational, which seeks to bring the trillion dollar OTC derivatives market on-chain by disaggregating settlement, margining, and derivative payoff logic into programmable primitives. Built on top of Variational is the OMNI perp dex – or decentralized perpetual futures exchange for the non-crypto-speaking listeners. Unlike other perp dexes that are build around a centralized order book, OMNI effectively acts as a user interface to a OTC RFQ system. On the other side is OLP – the OMNI Liquidity Provider. This structure allows OMNI to provide significant depth of liquidity on a huge breadth of investable assets despite the platform being in closed beta at the time of recording. Given its unique design, we spend a significant amount of time discussing the pros, cons, and risks of this structure. This conversation is, obviously, out of my usual realm. But for those listeners interested in market structure and where the world of finance may be headed, this is one not to miss. Please enjoy my conversation with Edward Yu.

    51 分钟
  5. Benjamin Hoff – Commodity Futures Surfaces and the Cash-and-Carry Glue (S7E17)

    6月30日

    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 economics, the sparse information cadence that rewards technical models, and the physical realities that challenge purely quantitative approaches. We also dive into Ben’s more recent work on the geometry of the futures surface, how convexity and skewness may be misunderstood, and why tools like Lévy area might help uncover non-linear structure in the data. Whether you’re deep in the weeds of term structure trading or just curious about how to systematize chaos in barrels and bushels, this is a conversation you won’t want to miss.

    1 小时 11 分钟
  6. Roxton McNeal and Siddharth Sethi – Building Multi-Strategy QIS Portfolios (S7E16)

    4月21日

    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 risk management. We discuss: • The structural vs. academic premia distinction and why it matters. • How Simplify evaluates and customizes QIS offerings from banks. • The need and challenges of dynamic allocation across dozens of strategies. • How QIS strategies integrate with traditional beta portfolios. • The operational and counterparty considerations of trading these strategies. For those interested in the practical realities of QIS investing, this episode provides a deep dive into both the opportunities and challenges of running a systematic, multi-strategy portfolio. I hope you enjoy my conversation with Roxton McNeal and Siddharth Sethi.

    56 分钟
  7. Scott Phillips - Finding Ugly Edges in Crypto Markets (S7E15)

    3月3日

    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 Scott to look for easier markets to trade: markets where the edges were so big they could survive inefficient implementations. All of which brought Scott to crypto in the late 2010s. While our conversation is, at a high level, mostly about trend following, we spend a lot of time discussing what makes trading these markets unique. For example, with tens of thousands of spot cryptocurrencies, how do you choose what to trade? How do you choose which venues to trade at when liquidity is so fragmented? How do you deal with the fact that both crime and degenerate gambling are real idiosyncratic factors? More than anything, painted between the lines, Scott provides a master class in thinking about edges. I hope you enjoy my conversation with Scott Phillips.

    1 小时 9 分钟
  8. Thao Tran – Market Making Illiquid, Non-Fungible Assets (S7E14)

    2月3日

    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 market making being just a small component of what she does. In this conversation, we walks me through how the NFT market place has evolved, how she thinks about managing inventory risk, key features that impact spreads, and how platform evolutions changed orderbook strategies. In the back half of the conversation, Thao shares her thoughts on the state of crypto markets today, the emerging opportunities in decentralized exchanges, and how the landscape of alpha opportunities has changed over the last two years. I hope you enjoy my conversation with Thao Tran.

    56 分钟
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关于

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.

信息

  • 创作者
    Corey Hoffstein
  • 活跃年份
    2018年 - 2025年
  • 单集
    114
  • 分级
    儿童适宜
  • 版权
    © Copyright 2025 Corey Hoffstein
  • 节目网站
    Flirting with Models

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