In 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 introducing...
Oct 24, 2022•42 min•Season 5Ep. 14
In 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. Adam discus...
Oct 03, 2022•1 hr 25 min•Season 5Ep. 13
In 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 the con...
Aug 29, 2022•51 min•Season 5Ep. 12
Today 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 identifying...
Aug 08, 2022•1 hr 4 min•Season 5Ep. 11
In 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 price discove...
Aug 01, 2022•53 min•Season 5Ep. 10
My 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 consistent...
Jul 25, 2022•55 min•Season 5Ep. 9
My 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, however, t...
Jul 18, 2022•1 hr 22 min•Season 5Ep. 8
My 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 that can b...
Jul 11, 2022•1 hr•Season 5Ep. 7
My 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 zoo, th...
Jul 03, 2022•50 min•Season 5Ep. 6
Today 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 that b...
Jun 27, 2022•50 min•Season 5Ep. 5
In 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 market stru...
Jun 20, 2022•1 hr 2 min•Season 5Ep. 4
In 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 Digital A...
Jun 13, 2022•1 hr 10 min•Season 5Ep. 3
In 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 unique risks ...
Jun 06, 2022•48 min•Season 5Ep. 2
In 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 that “it’s n...
May 30, 2022•1 hr 4 min•Season 5Ep. 1
In 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 expan...
Aug 16, 2021•46 min•Season 4Ep. 16
Today 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. In the ba...
Aug 09, 2021•56 min•Season 4Ep. 15
Andrew Lapthorne is the Head of Quantitative Equity Research at SocGen, a role he’s held for nearly 14 years. Given the breadth of topics covered by bank research, it should be no surprise that this conversation takes some wide swings as well. We discuss everything from thematic baskets to style premia and machine learning to ESG. One of my favorite parts of the conversation is when Andrew discusses his research into strong balance sheet names in U.S. small-cap equities. For all the depth in dis...
Jul 26, 2021•1 hr•Season 4Ep. 13
In this episode I chat with Greg Obenshain, Partner and Director of Credit at Verdad Capital. Prior to joining Verdad, Greg worked as the high-yield portfolio manager at Apollo Global Management and Stone Tower Capital. Despite his background as a fundamental analyst, Greg is a quant convert. His ideas are still grounded in a strong fundamental understanding of what it means to invest in credit, but in a sector where even just acquiring data may be an edge, he lets the data speak for itself. Gre...
Jul 19, 2021•54 min•Season 4Ep. 12
In this episode I speak with Roxton McNeal, Head of Multi Asset Investment Strategy & Allocation at the UPS Investment Trust. Before landing at UPS, Roxton’s career took him through the world of CTAs, developing hedge models for bonny light oil, and working in asset/liability management at General Motors. Each of these roles likely deserves its own podcast, but I do my best to pull a nugget of wisdom from each experience. Where we spend the bulk of the conversation is in Roxton’s current rol...
Jul 12, 2021•1 hr 2 min•Season 4Ep. 11
Vivek Viswanathan is the Head of Research at Rayliant Global, a quantitative asset manager focused on generating alpha from investing in China and other inefficient emerging markets. Our conversation circles around three primary topics. The first is the features that make China a particularly attractive market for quantitative investing and some of the challenges that accompany it. The second is Vish’s transition from a factor-based perspective to an unconstrained, characteristic-driven one. Fin...
Jul 05, 2021•1 hr 12 min•Season 4Ep. 10
My guest this episode is Tobias Carlisle, author, podcast host, and founder of Acquirers Funds. Toby joined me in Season 1 where we discussed his background and overall investment philosophy. In this episode, we dive right into the well-documented woes of value investing. Rather than rehash the usual narratives, however, I wanted to get Toby’s views as to how this environment is unique. We spend time discussing relative versus absolute cheapness, the potentially arbitrary constraints of value an...
Jun 28, 2021•1 hr 18 min•Season 4Ep. 9
In this episode I speak with Sam Trabucco from Alameda Research. Alameda manages over $100mm in digital assets and trades between $600mm and $1.5bn per day. We begin our conversation with a discussion around the features that distinguish crypto markets from traditional markets. What becomes a recurring theme in the conversation is how decentralization and fragmentation present both an opportunity and a challenge. Sam provides some color into the easiest and hardest alpha he’s earned, including e...
Jun 21, 2021•56 min•Season 4Ep. 8
In this episode I speak with Dennis Davitt, CEO of Millbank Dartmoor Portsmouth. Dennis began his career in the option pits of New York and Chicago and eventually worked his way to managing the equity derivatives desk for Credit Suisse. These experiences taught Dennis two important lessons. First, respect markets over models. Secondly, always ask: “what’s the motivation behind this transaction?” And for each of these lessons, Dennis offers a number of stories to entertain us. In 2013, Dennis lef...
Jun 15, 2021•1 hr 18 min•Season 4Ep. 7
Angus Cameron is the Founder and CIO of Liminal Capital, a machine-learning focused investment manager. But Angus does not come to markets with a computer science PhD. Rather, his career arc took him through the prop desks and buyside of Asia, trading global fixed income, FX, equity markets, and arbitrage strategies on a discretionary basis. A machine-learning driven approach is a new endeavor, but one informed by the wisdom of experience. Angus would consider himself a quantitative trader, not ...
Jun 07, 2021•1 hr 16 min•Season 4Ep. 6
In this episode I speak with Guillermo Roditi Dominguez, managing director at New River Investments. This was one of the more unique and wide-ranging conversations I have had on the podcast to date. We begin by discussing Guillermo’s approach to portfolio construction, which is heavily focused on the idea of under-writing risk. How he goes about achieving this, though, takes us from adjusted valuation measures to the positioning of large, systematic players and even to the importance of higher f...
May 31, 2021•1 hr 5 min•Season 4Ep. 5
Tina Lindstrom is a Partner at First NY, where she manages an oil volatility portfolio. She began her career at Susquehanna and eventually worked her way up to managing both the high cap equity index group and the commodity volatility group. This gives her the unique perspective to be able to compare and contrast how these two markets operate. Tina explains what makes commodity markets unique, how the structure of markets has changed over time, how relative value trades might emerge, and what ha...
May 24, 2021•38 min•Season 4Ep. 4
In this episode I chat with David Fauchier of Nickel Digital Asset Management. At Nickel, David manages the Factors Fund, a multi-strategy, multi-manager fund for cryptocurrencies. We leave the philosophical discussions about crypto aside to dive into the features of this universe that make it rife with opportunity. What struck me most about this conversation was not just how much crypto markets have evolved in the past several years, but how fragmented they still remain. Different exchange rule...
May 17, 2021•1 hr 6 min•Season 4Ep. 3
Darrin Johnson is the first independent trader I’ve interviewed for this show and with that distinction he brings an entirely new perspective. After learning about how Darrin began his career as an independent trader, we get into the bulk of the conversation that circles around his process of shorting volatility in the S&P 500 complex, including options on futures, index options, VIX futures, and VIX ETPs. Darrin provides insights into how he plays certain tenors over others, why knowing whe...
May 10, 2021•1 hr 11 min•Season 4Ep. 2
My guest this episode is Cem Karsan, Founder and Senior Managing Partner of Aegea Capital Management. Cem began his career in the pits, and so we begin our conversation with a discussion by comparing and contrasting today’s market versus days gone by. And, perhaps more importantly, the wisdom gained from that era. It was in the pits that Cem began to understand and develop his intuition for markets and what would become the colorful cast of characters he uses to describe what’s driving flow: Gar...
May 03, 2021•45 min•Season 4Ep. 1
In this episode I am going to read Newfound’s latest research paper, LIQUIDITY CASCADES: The Coordinated Risk of Uncoordinated Market Participants. This reading will refer to a number of figures within the paper, so I urge you to go to our website, thinknewfound.com, and download the PDF so you get better follow along. This paper is unlike any research we've shared in the past. Within we dive into the circumstantial evidence surrounding the "weird" behavior many investors believe markets are exh...
Sep 20, 2020•1 hr 6 min
