Flirting with Models
Flirting with Models
Corey Hoffstein
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)
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.
Feb 4
56 min
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.
Jan 7
54 min
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.
Dec 26, 2023
1 hr 8 min
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.
Dec 11, 2023
1 hr 16 min
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.
Dec 4, 2023
1 hr 12 min
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.
Sep 24, 2023
1 hr 26 min
Dean Curnutt - The Reflexivity of Equity Volatility (S6E16)
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 of the Fed. Dean also shares his thoughts about the nature of risk, how it is woven into the fabric of markets, and why it seems like there’s a crisis every 11 years.For those who love to think about risk and the nature of markets, this episode is for you.So sit back, relax, and enjoy this episode of Flirting with Models with Dean Curnutt.
Sep 10, 2023
1 hr 18 min
Gerald Rushton - Commodity Strategies (Trend; Carry; Congestion; and Volatility Carry) (S6E15)
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 some insight as to how QIS desks have evolved over the past decade, why he believes QIS desks can provide unique edge, and the many ways in which they can customize mandates for clients.Please enjoy this conversation with Gerald Rushton.
Sep 3, 2023
48 min
15 Ideas, Frameworks, and Lessons from 15 Years
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, but this milestone feels larger than any recent birthday I can remember.  I’m so incredibly grateful for what this company has given me.  I’m grateful to my business partner, Tom.  I’m grateful to employees – both past and present – who dedicated part of their lives and careers to work here.  I’m grateful to our clients who supported this business.  I’m grateful for all the friends in the industry that I’ve made.  And I’m grateful to people like you who have given me a bit of a platform to explore the ideas I’m passionate about.Coming up on this anniversary, I reflected quite a bit on my career.  And one of the things I thought about was all the lessons I’ve learned over the years.  And I thought that a fun way to celebrate would be to take the time and write down some of those ideas and lessons that have come to influence my thinking.So, without further ado, here are 15 lessons, ideas, and frameworks from 15 years.
Aug 28, 2023
33 min
Devin Anderson – Strategy versus Structure in Tail Hedging (S6E14)
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 account wrappers.In the back half of the conversation, we dive into how Convexitas implements their risk mitigating strategies. Specifically, Devin explains why Convexitas focuses on convexity with respect to the S&P 500 and actually refuses to customize this mandate, despite having the ability to do so at scale.Finally, we end the conversation on a bit of a spicier note, where Devin explains why most market pundits overstate the influence large, scheduled derivative rolls might have on the underlying market.Please enjoy my conversation with Devin Anderson.
Aug 13, 2023
1 hr 10 min
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