95 episodes

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.

Flirting with Models Corey Hoffstein

    • Business
    • 4.9 • 209 Ratings

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.

    Clayton Gillespie - A Fundamental View of Quant Equity (S7E5)

    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 to improve quantitative equity strategies by anchoring them with a strong fundamental understanding.
    We discuss how fundamental and statistical interpretations can be at odds, how a strong fundamental understanding can help with the identification of emergent risk factors during regime changes, and how best to incorporate fundamental insights while avoiding potential biases from the analysts who deliver them.
    Please enjoy my conversation with Clayton Gillespie.

    • 56 min
    Hari Krishnan – Hedging a Commodity Bull Market (S7E4)

    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 the perspective of both commodity producers and consumers. By understanding their business incentives, Hari believes he is better able to understand their market positioning and the potential imbalances created in both futures and options markets.
    We discuss the conditional impacts of price on real world costs, how perishability impacts derivative markets, and the influence of seasonality.
    I hope you enjoy my conversation with Hari Krishnan.

    • 54 min
    Nick Baltas - Multi-Asset, Multi-Strategy Portfolios (S7E3)

    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 Nick’s research on cross-asset skewness. Less commonly discussed among multi-asset strategies, Nick wrote one of the preeminent papers on the topic and provides considerable insight into the nuance of implementing a skewness strategy.
    Finally, Nick shares his thoughts on building multi-strategy portfolios, both in theory as well as with respect to meeting client needs.
    I hope you enjoy my conversation with Nick Baltas.

    • 1 hr 8 min
    Bin Ren – text2quant (S7E2)

    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, how tightly coupled the engine and data should be, and the blurred line between where a strategy definition ends and the backtest engine begins.
    In the second half of the conversation we discuss the significant pivot SigTech has undergone this year to incorporate large language models into its process. Or, perhaps more accurately, allow large language models to be a client to its data and services. Here Bin shares his thoughts on both the technical ramifications of integrating with LLMs as well as his philosophical views as to how the role of a quant researcher will change over time as AI becomes more prevalent.
    I hope you enjoy my conversation with Bin Ren.

    • 1 hr 16 min
    Charles McGarraugh - "Change in the Market is Accelerating" (S7E1)

    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 markets. Today, Charlie is betting that alternative strategies will play an increasingly important role for investors over the coming decade.
    We spend the majority of our conversation talking about Altis’s investment stack, which is comprised of two components: an upstream signal layer and a downstream strategy layer. The signal layer is responsible for ingesting data and constructing a prediction curve for different futures markets. The strategy layer ingests these prediction curves and constructs a portfolio. Charlie discusses the types of signals Altis relies on, how they turn prediction curves into trade signals, and where risk management fits into the equation.
    I hope you enjoy my conversation with Charles McGarraugh.

    • 1 hr 12 min
    Andrew Beer & Adam Butler - Attack of the Managed Futures Clones

    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 should allocate to managed futures, that managed futures are well suited for replication, and that replication can help dramatically reduce fees – but differ on the implementation details.
    And it is in that disagreement that I hoped to highlight the different pros and cons as well as any embedded assumption in any of these replication approaches.
    We discuss return-based replication, process-based replication, determining the number of markets to trade, expectations for tracking error, and more.
    I hope you enjoy this episode with Andrew Beer and Adam Butler.

    • 1 hr 26 min

Customer Reviews

4.9 out of 5
209 Ratings

209 Ratings

Gay&Sweaty ,

A must-listen!!

This show is your gateway to the world of systematic investment strategies. The host Corey expertly explores helpful strategies from value to momentum. Dive into the world of quantitative investing with this must-listen podcast! ⭐⭐⭐⭐⭐

Loredon ,

Incredibly thorough

Flirting with Models is the only podcast of its kind. The host does an exceptional job of discussing highly technical, relevant, insightful, and unique insights into a world that is sometimes extremely opaque. The world of quant investing. Not only are the guests usually highly regarded in the field the podcast presents the information and the context in an easy to apply way that you won’t find anywhere else. Incredible stuff here.

westyfresh ,

Uncommonly nerdy financial podcast

Interviews with industry leading experts who go deep into their niches of the go coal world. Really enjoy the quant perspective.

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