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.
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My guest this episode is Kris Sidial, co-CIO of The Ambrus Group, a volatility arbitrage focused firm founded in 2018. Kris recently joined Ambrus after spending several years on BMO’s exotic and listed options desks. While time on these desks gave Kris the experience of managing a large derivatives book, what convinced him to take the leap to a new firm was growing confidence in a thesis that market micro-structure had undergone a regime shift. And in Kris’s view, this regime shift supports his...
“Keep an open mind. But not so open your mind falls out.” My guest in this episode needs little introduction: Cliff Asness, co-founder and managing partner at AQR. Cliff has done dozens of interviews, podcasts, talks, and fireside chats over the years. He is also a prolific writer. So, my goal in this conversation was to try to find the questions he hadn’t been asked before or had not answered himself already. How did his formative experiences in the dotcom bubble shape his perception of markets...
Today I chat with Euan Sinclair, Partner at Talton Capital Management and author of the books Options Trading, Volatility Trading, and the up-coming Positional Option Trading. We begin our discussion with Euan’s experience as a market maker as I try to get a better understanding of what a market making operation really looks like from the inside and how it has changed over the last 15 years. Of particular interest to me, given how much market makers have been villianized in recent years, were Eu...
Today I am speaking with Omer Cedar, CEO and co-founder of OmegaPoint. One of the significant trends in quant equity over the last decade has been the attempt to better control for unintended bets and idiosyncratic risks. At OmegaPoint, Omer comes at the problem from the opposite direction: helping fundamental managers better focus on their idiosyncratic risk and recognize the factor risks they may be unintentionally taking. We discuss how quantitative investors have impacted markets, how fundam...
My guest in this episode is Sandrine Ungari, Head of Cross-Asset Quantitative Research at SocGen. Sandrine cut her teeth in the industry as a fixed-income pricing quant, but made her way over to sell-side, investment quant research in 2006. Her early research focused on credit and macro, but since 2012 has been heavily focused on equity and alternative risk premia. Our conversation begins with equity factors and Sandrine provides insight both into how factor construction has evolved over the las...
In this episode I speak with Dr. Michael Hunstad, Head of Quantitative Strategies at Northern Trust. Our conversation centers around the four key trends Michael is seeing among institutional allocators in the factor space today. These trends are (1) the adoption of factors to manage concentration risk in market-cap weighted benchmarks, (2) a move from single- to multi-factor implementations, (3) using factors to de-risk equity exposure, and (4) a tactical tilt towards value. But Michael isn’t af...
In this episode I chat with Mads Ingwar and Martin Oberhuber, co-founders of Kvasir Technologies, a systematic hedge fund powered by a full-stack application of machine learning. By full-stack I mean every layer of the process, including data ingestion, signal generation, portfolio construction, and execution, which gives us a lot to talk about. Our conversation covers topics ranging from the limitations of machine learning and hard lessons learned to how to keep up in a rapidly evolving field a...
My guest is Eric Crittenden, founder and Chief Investment Officer of Standpoint Funds. Eric has spent his career with trend following strategies, first at BlackStar where he managed a fund-of-funds, then at Longboard, and now at Standpoint Funds. This background makes him not only a fountain of knowledge on trend following theory, but also the operational logistics and practical considerations. In this episode our conversation ranges from the source of the trend-following premium to novel concep...
In this episode I speak with Jeffrey Baird, managing partner at Merritt Point Partners. Merritt Point Partners seeks to build diversified portfolios of convexity exposure through the commodities market. With that in mind, we talk about what makes the commodities market unique, who the players are, and the types of trades that Jeff looks for. Stepping somewhat outside of the theme for this podcast, Jeff actually employs a heavily fundamentals-driven process. But what fundamental means in the comm...
My guest in this episode is Dr. Ernest Chan, founder of QTS Capital Management. Investor, researcher, and educator, Ernie is well-known for his blog – which he has been publishing since 2006 – as well as the several books he has authored, including Quantitative Trading, Algorithmic Trading, and Machine Trading. Our conversation meets at the intersection of tail risk hedging and machine learning. Ernie has a long history with machine learning, having first applied it on Wall Street in the late 19...
In this episode I speak with Jim Masturzo, Head of Asset Allocation at Research Affiliates. In his role, Jim oversees the research and publication of the firm’s capital market assumptions as well as the implementation of those views into a suite of tactical portfolios. We begin our conversation discussing the foundational assumptions behind the capital market assumptions. Like most firms, Research Affiliates takes a long-term view on return and risk. In line with the firm’s guiding philosophy, t...
Today I am speaking with Benn Eifert, founder and CIO of QVR Advisors. Benn is my first repeat guest on the podcast, making his first appearance in Season 2. When I asked listeners who they wanted on for Season 3, he was high on the list. In this episode, we take things in a bit of a different direction. Rather than a normal interview, I use this opportunity to ask Benn about his opinion on a number of different trade ideas, from covered calls to shorting VIX ETPs. Benn walks me through the subt...
Corey Hoffstein hosts Michael Krause, co-founder of Counterpoint Asset Management, who shares his unique entrepreneurial path from starting an ISP at 14 to managing mutual funds. The discussion delves into the nuances of tactical high yield bond timing, exploring its implementation and sources of return. Additionally, Michael details Counterpoint's multi-factor long/short equity strategies, explaining their evolution from regression to machine learning techniques, and emphasizing the critical role of optimization in managing unintended exposures and portfolio risk.
My guest today is K.C. Hamann, founder of AQIS LLC. K.C. is a Warren Buffett disciple and spent his first decade in the industry working as an analyst at discretionary, deep value long/short equity hedge funds. Which probably makes him sound like an odd guest for a podcast all about quantitative investing. K.C.’s experiences, however, lead him to identify a number of biases that he believes pollute the stock picking skills of discretionary analysts. And thinking of a hedge fund as a system whose...
My guest today is … me. But rather than interview myself, my co-portfolio manager Nathan Faber joins the podcast to take the reigns. In this episode, we talk all things rebalance timing luck. It’s been an obsession of mine for years and something we believe to be a dramatically misunderstood and outright ignored source of risk in portfolios. We discuss how we first came across the topic, some recent research into it, important implications for the industry at large, and how we can try to solve f...
My guest in this episode is Daniel Grioli. Daniel cut his teeth in the industry at Deutsche Bank in London, where he was responsible for valuing structured equity and hedge fund of fund products targeted at continental Europe. His timing of joining Deutsche, while perhaps somewhat unfortunate for him, proves fortunate for us as he retells a few war stories and lessons learned from the desk leading into 2008. During the crisis, Daniel found himself back in Australia working for a pension fund, wh...
In this episode I am joined by Katherine Glass-Hardenbergh, Associate Portfolio Manager at Acadian Asset Management. In her role, Katherine focuses heavily on the application of alternative data in Acadian’s fundamentally-driven, systematic investment process. Purported as being one of the leading frontiers of quant finance, there is plenty of hype around alternative data. Katherine brings refreshing transparency to our conversation, speaking just as candidly about the hurdles in alternative dat...
Chris Meredith is co-Chief Investment Officer and Director of Research at O’Shaughnessy Asset Management. In this episode, we focus on the latter title and talk all about what it means to develop a strong research program. Our conversation centers around what Chris considers to be the three key pillars: data, tools, and people. Chris provides insight into how data sets have changed since the beginning of his career, starting with highly structured price and fundamental data to so-called “pointy,...
In this episode I am joined by Liqian Ren, Director of Modern Alpha at WisdomTree. After receiving her degree in Computer Science, Liqian came to the United States to pursue her Masters in Economics. Liqian then did a quick stint at the Federal Bank of Chicago as an associate economist, before returning back to academia to pursue her PhD at the University of Chicago. In 2007, Liqian joined Vanguard’s Investment Strategy Group, where she leveraged her background to perform economic and capital ma...
In this episode I chat with Wayne Himelsein, president and chief investment officer at Logica Capital. To our conversation Wayne brings over two decades of experience managing long/short portfolios, ranging from statistical arbitrage to factor long/shorts. For as deep in the weeds as he liked to go as a quant, Wayne has a philosopher’s streak and Twitter is his soapbox. Of course, 280 characters can be limiting, so I start out conversation by putting Wayne in the hot seat and ask him to explain ...
My guest in this episode is Jason Thomson, a portfolio manager at the William O’Neil family office. On paper, Jason doesn’t seem like a particularly good fit for this podcast. He runs a highly concentrated discretionary portfolio of growth equity names. He can be levered long, net short, or completely out of the market all at his discretion. What becomes rapidly apparent is that while Jason has ultimate discretion, he adheres closely to a disciplined, rules-based process driven by the empirical ...
My guest is Artur Sepp, Director of Research at Quantica Capital AG in Zurich. In 2008, Artur was working on structured credit products for Merrill Lynch, giving him a front-row seat to the ensuing credit crisis. We use this experience as a jumping off point for our conversation, with Artur providing both pragmatic and philosophical lessons learned. One of those key lessons was the role of liquidity, which Artur argues is the key factor behind many premia we see in the market. Artur’s focus on l...
In this episode, I am joined by Tammira Philipe and Elena Khoziaeva, both of Bridgeway Capital Management, a quantitative asset manager founded in 1993 offering systematically managed equity strategies. But that’s not how Tammira or Elena would describe it. And that’s what this episode is all about: communication in the realm of quant. As President and CEO of Bridgeway Tammira provides us with a perspective of why effective communication is so important for building an enduring asset management ...
In this episode I chat with Ben McMillan, a founding partner of IDX Insights, a firm offering "indexing as a service." Ben cut his teeth in manager analysis at a fund-of-hedge-funds and we spend a considerable amount of time discussing how this experience impacted his research in building hedge fund replication strategies. As it turns out, a naive replication strategy is very easy to implement. A robust one, however, is deceptively difficult. One of the most interesting insights I gleaned from t...
I am joined today by Benn Eifert, founder of QVR Advisors. QVR specializes in managing option-based strategies and Benn describes what he does as volatility investing. We quickly wade into the deep end with this one. Benn schools me on relative value investing and dismisses my favored mental model of style premia for what he prefers to call “the Star Wars framework.” We chat about volatility ETPs, their impact on the volatility landscape, and how the market has changed since February 2018. And w...
In this episode, I sit down with good friend Adam Butler, Chief Investment Officer of ReSolve Asset Management. Rather than take the usual interview style, we thought it would be fun to just sit down at a bar without an agenda and just record the stuff we would have been talking about anyway. With drinks in hand, we dive into a conversation that covers topics ranging from machine learning to analytical derivations of the correlation between trend following signals to the role of defensive strate...
"How do you come to a rational conclusion as to what a company is worth?" A seemingly simple question with little-to-no clear answer. For John Alberg, a background in computer science and a passion for machine learning led him to view the problem through the lens of data. "If it is true that you can use publicly available information to buy companies for less than their economic worth," he thought, "then you should be able to see it in the data." And thus was born Euclidean, an investment firm t...
Today I am speaking with Jack Vogel, co-CIO of boutique ETF issuer Alpha Architect. I’ve known Jack for some time now and was particularly excited to bring him on the show for two reasons. The first, which you will quickly learn in the episode, is his near encyclopedic knowledge of investing literature. I’ve met few investors who have both the breadth and depth of recall that he does for both academic and practitioner studies. The second was because he helps manage a momentum strategy. Almost ev...
In this episode, I am joined by JD Gardner, founder and managing member at Aptus Capital. In his time in the industry, JD has served in the role of associate financial advisor, analyst to a deep-value equity fund, and analyst at short-term, systematic, managed-futures fund. These varying experiences have mixed to culminate into JD's ultimate philosophy: it's all about the investor's return, not the investment return. I like to say, "No pain, no premium" as pithy shorthand for the notion that lon...
My guest, this episode, likely needs little introduction. His paper, a Quantitative Approach to Tactical Asset Allocation is the highest ranked paper on SSRN with over 200,000 downloads at the point of recording. But Meb Faber’s interests go far beyond tactical asset allocation. His work over the last decade-plus – from his blog to his podcast to the books he has authored – spans broad topics such as shareholder yield, global value, hard asset alternatives, risk parity, and angel investing to na...
