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 wro...
Dec 26, 2023•1 hr 9 min•Season 7Ep. 3
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 def...
Dec 11, 2023•1 hr 17 min•Season 7Ep. 2
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 ro...
Dec 04, 2023•1 hr 13 min•Season 7Ep. 1
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...
Sep 25, 2023•1 hr 26 min
In this episode I speak with Dean Curnutt, founder of Macro Risk Advisors and host of the Alpha Exchange podcast. This episode is all about the nature of risk. More specifically, the endogenous risk that can manifest in markets. We discuss the crash of 1987, Long-Term Capital Management, the Financial Crisis of 2008, the XIV implosion of February 2018, and the 2020 COVID crisis. With these crises in mind, we touches upon topics such as reflexivity, crowding, risk recycling, and the evolving role...
Sep 11, 2023•1 hr 18 min•Season 6Ep. 16
In this episode I speak with Gerald Rushton, senior member of the QIS Structuring team at Macquarie Bank. Our conversation largely revolves around commodity strategies, including thoughts on trend following, commodity carry, commodity congestion, and commodity volatility carry. Gerald argues that the latter three are particularly well suited to be paired with equity hedging strategies, and we spend quite a bit of time discussing the major design levers behind each strategy. Gerald also provides ...
Sep 04, 2023•48 min•Season 6Ep. 15
Today, August 28th, 2023, my company Newfound Research turns 15. It feels kind of absurd saying that. I know I’ve told this story before, but I never actually expected this company to turn into anything. I started the company while I was still in undergrad and I named it Newfound Research after a lake my family used to visit in New Hampshire. I fully expected the company to be shut down within a year and just go on to a career on Wall Street. But here we are, 15 years later. I’m not sure why, bu...
Aug 28, 2023•34 min
My guest is Devin Anderson, co-founder of Convexitas. The theme of this episode, as you can likely guess from the title, is strategy versus structure. While we often focus on strategy specifics on this podcast, Devin hosts a masterclass as to why the structure you wrap your strategy in can ultimately determine the type of strategy you can deliver. Specifically, we discuss option-based tail hedging and the types of strategies that can be delivered in hedge fund, mutual fund, ETF, and separate acc...
Aug 14, 2023•1 hr 11 min•Season 6Ep. 14
In this episode I speak with Martin Tarlie, a member of the Asset Allocation team at GMO and spearheading their work on Nebo, a goals-based investment platform. Martin describes Nebo as, “bridging the gap between financial planning and portfolio management,” with a key innovation being the reformulation of risk from volatility to not having what you want/need when you want/need it. In other words, constraints on both wealth target and horizon. This reformulation of the core problem introduces a ...
Aug 07, 2023•55 min•Season 6Ep. 13
In this episode I speak with Grug, an anonymous MEV searcher on the Ethereum blockchain. If that sentence made no sense to you, I promise this will be a fun episode. To begin the conversation, Grug explains the basic architecture of the Ethereum blockchain and how its structure allows for the emergence of MEV strategies like sandwich attacks, arbitrage, and liquidations. He discusses some of the criteria he looks for when identifying a profitable MEV strategy and provides examples of some of the...
Jul 24, 2023•47 min•Season 6Ep. 12
My guest this episode is Doug Greenig, CEO and CIO of Florin Court Capital. Florin Court specializes in delivering an alternative markets CTA, trading over 500 markets ranging from Turkish cross currency swaps to French power markets. We spend the majority of the conversation discussing what makes these markets unique from traditional markets traded by CTAs. For example, who are the players in these markets, what are the unique considerations for introducing and sunsetting markets, and why we wo...
Jul 17, 2023•1 hr 2 min•Season 6Ep. 11
In this episode, Corey Hoffstein, CIO of Newfound Research, Rodrigo Gordillo, President of ReSolve Global* and Adam Butler, CIO of ReSolve Global, delve into the concept of return stacking and introduce the innovative RSBT Return Stacked™ Bonds & Managed Futures ETF. This podcast is essential for investors, financial advisors, and anyone interested in learning more about return stacking, the RSBT ETF, and the potential benefits of combining bonds and managed futures for portfolio diversifica...
Jul 11, 2023•1 hr 8 min
Today I speak with Pim van Vliet, Head of Conservative Equities at Robeco. It will come as no surprise, to those who know Pim’s work, that we spend the majority of this conversation talking about conservative investing. Specifically, we discuss the low volatility anomaly. But rather than rehash the usual high level talking points, I wanted to dig into the more practical considerations. For example, how are low volatility and low beta different? How do selection and allocation effects contribute ...
Jul 03, 2023•1 hr 8 min•Season 6Ep. 10
In this episode I speak with Asif Noor, Portfolio Manager at Aspect Capital where he oversees the firm’s Multi-Strategy Program. Asif has spent the last 25 years of his career developing systematic macro strategies, giving him a depth and breadth of experience to understand what it takes to remain competitive in the space. While a handful of low frequency signals may have been sufficient a few decades ago, today Aspect’s Multi-Strategy Program incorporates hundreds of alpha forecasts ranging fro...
Jun 26, 2023•47 min•Season 6Ep. 9
My guest is Rob Croce, Senior Portfolio Manager at Newton Investment Management Group. This episode is all about what Rob considers to be the two super factors: trend and carry. More importantly, how Rob uses them to inform how risk is taken within asset classes, across asset classes, and over time. Rob is not afraid to get in the weeds, either. For example, on the trend side we discuss details such as how to combine trend signals of different speeds, how to balance the probability of a trend si...
Jun 19, 2023•55 min•Season 6Ep. 8
In this episode I speak with Michele Aghassi, principal at AQR Capital Management where she serves as a portfolio manager for the firm’s equity strategies. The conversation spans three major points: optimization, the opportunity in emerging equities today, and factor investing. While these are the headline topics, the underlying theme of the conversation, in my opinion, is the idea of unintended bets. More specifically, how controlling for unintended bets, whether through optimization or thought...
Jun 12, 2023•55 min•Season 6Ep. 7
In this episode I chat with Jason Josephiac, Senior Vice President and Research Consultant at Meketa Investment Group. Jason has largely spent his career in the institutional allocation space, first in manager research at United Technology’s pension and now on the consulting side of the table. Given this background, I spend the first half of the conversation trying to peel back the layers of how Jason thinks allocators should attack the portfolio construction process. This includes his views on ...
Jun 05, 2023•58 min•Season 6Ep. 6
In this episode I speak with the anonymous twitter user @macrocephalopod. The arc of our conversation follows the arc of his career: beginning with slow-frequency style premia in a hedge fund to building a prop desk that trades mid-to-high frequency strategies in crypto. A large part of the conversation can be characterized as comparing and contrasting the roles through the lenses of research, operations, and risk management. For example, in what ways is long/short equity meaningfully different ...
May 29, 2023•1 hr 2 min•Season 6Ep. 5
My guest is Roni Israelov, CIO of NDVR. Prior to NDVR, Roni was a principal at AQR Capital Management, where he worked on global risk models, high frequency factors, and lead the development and oversight of options-oriented strategies. Taking a page from Roni’s career and research, our conversation is far ranging. We discuss topics from global asset risk models to the application of high frequency signals to tail risk hedging. While there are insights to glean in each of these topics, I think t...
May 22, 2023•1 hr 27 min•Season 6Ep. 4
Doug Colkitt is an ex-high frequency trader, ex-MEV bot searcher, and founder of the decentralized exchange CrocSwap. In this episode, we talk about all three. We begin with high frequency trading, where Doug walks us through the differences between maker and taker strategies, why queue position is so critical for makers, and why volatility is a high frequency trader’s best friend. We then discuss Ethereum-based MEV strategies. Doug explains what MEV is, how the architecture of the Ethereum bloc...
May 15, 2023•1 hr 1 min•Season 6Ep. 3
My guest this episode is Jeff Yan, founder of Chameleon Trading. Jeff began his career in high frequency trading at Hudson River Trading but soon moved over to the world of crypto where he built one of the largest market making firms in the space. After Jeff gets me up to speed with the basics of high frequency market making, we dive into some of the more esoteric components, particularly with respect to centralized crypto exchanges. These include infrastructure quirks, adversarial algorithms, a...
May 08, 2023•1 hr 13 min•Season 6Ep. 2
Jason Buck is the co-founder and CIO of Mutiny Funds and maybe one of the most interesting people I know. Jason made, and subsequently lost, a fortune in commercial real estate in the 2008 crash. This “ego destroying event” was the catalyst for him to completely rethink the idea of resiliency, both in business and investments. Jason spent the better part of the 2010s developing the Cockroach portfolio, a modern take on Harry Brown’s permanent portfolio. A quarter stocks, a quarter bonds, a quart...
May 01, 2023•56 min•Season 6Ep. 1
There is no doubt that the tools of machine learning and the promise of artificial intelligence has captured the imagination of quantitative researchers everywhere. But I am aware of few fund managers who have wholesale adopted the ideas into their investment stack as thoroughly as Angus Cameron. In this dive back into the archives, we return to Season 4, Episode 6 where I spoke with Angus about his background as a discretionary macro trader and his evolution into a fully systematic, machine-lea...
Feb 27, 2023•9 min
In our industry, we’re all too often guilty of asking, “what is your alpha,” rather than, “what is your process for finding alpha?” Yet, in the long run, it is the process that is important. I’m equally guilty of this. In the history of this podcast, I’ve probably overemphasized the outcome of research versus the process of research. There are a few exceptions, though. And in this dive into the archives, I wanted to return to Season 2, when I spoke with Chris Meredith, Co-Chief Investment Office...
Feb 13, 2023•19 min
In July 2020 I interviewed Cliff Asness, co-founder of AQR. This was several months after he penned a perspective piece titled The Valuesburg Address , where he waxed poetic about the multi-year drawdown in the value factor. Nearly three years later, he recently wrote the perspective piece titled, The Bubble Has Not Popped . I say wrote, but it is just a single image of the value spread between growth and value, adjusted for just about every possible noise factor you can imagine. The spread stil...
Jan 30, 2023•20 min
It’s no secret that high flying growth stocks were hammered in 2022, so I thought it would be fun to revisit my conversation with Jason Thomson back in Season 3. Jason is a portfolio manager at O’Neil Global Advisors, where he manages highly concentrated portfolios of growth stocks. Now, Jason is a discretionary PM, which may seem like an unusual guest for a quant podcast. But his approach is so data and process driven, it’s hard to tell the difference. I selected a few questions about his take ...
Jan 23, 2023•14 min
After March 2020, a growing research interest of mine was the question, “how do strategies reflexively impact the markets they trade?” Beyond crowding risk, can adoption of strategies fundamentally change market dynamics. In Season 3 Episode 11, I spoke with Omer Cedar, who argues that equity quants have done precisely that. The mass adoption of factor models, whether for alpha or risk, fundamentally changed how baskets of stocks are bought and sold. For a discretionary manager to ignore this se...
Jan 16, 2023•19 min
We’re back with another clip from the archives. This time it’s Season 4 Episode 9 with Vivek Viswanathan. For three decades, equity quants have largely lived under the authoritative rule of the Fama-French 3 Factor Model and linear sorts. In this episode, Vivek provides an cogent alternative to the orthodoxy. Specifically, he explains why an unconstrained, characteristic-driven portfolio can more efficiently capture behavioral-based market anomalies. I think this is a master class for alternativ...
Jan 09, 2023•22 min
We’re rewinding to Season 3, Episode 3 to chat with Benn Eifert, founder of QVR. Benn was my first repeat guest and this is probably one of our more popular episodes. Instead of the usual interview format, I called this episode “Bad Ideas with Benn Eifert,” and basically just asked him a bunch of questions about naive option trades and whether they are a good idea or not. For anyone starting their journey with options or volatility, the whole episode is a must listen. The clips I chose here were...
Jan 02, 2023•19 min
We’re trying something new here, folks. I’ve got 5 seasons and 60 brilliant episodes and I thought it would be fun, in the off season, to go back to the archives and highlight past conversations. So using my trusty random number generator, I chose an episode at random. So, we’re going back to 2018 to my conversation with John Alberg, co-founder of Euclidean Technologies, where machine learning is applied to the value investing problem. The part I’m highlighting starts around minute 20 and is abo...
Dec 29, 2022•16 min
