Podcast
Flirting with Models
Hosted by Corey Hoffstein · EN
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.
33episodes
Episodes
Newest firstAll episodes
Jay Rajamony – Beyond Factors: Reimagining Quant Equity for the Modern Era (S7E23)
Oct 1300:56:53Tap to summarizeIn this episode, I speak with Jay Rajamony, Director of Alternatives at Man Numeric.Jay has been with the firm since 2004, giving him a front-row seat to the evolution of quant equity: from simple factor models and broad signals to today’s world of alternative data, model ensembles, and human-machine collaboration.We start with the history: what’s changed in quant over the last two decades, why the 2007 quant quake still matters, and how the definition of “alpha” has shifted alongside new tools and data.From there, we explore the interplay between factors and macro regimes, how sparse datasets are reshaping the research process, and what it means to manage risk in a world where your models don’t always line up with reality.Jay also offers a compelling perspective on how modern quant investing isn’t just about signal breadth anymore—it’s about firm breadth, organizational design, and knowing when to lean in and override the machine.Please enjoy my conversation with Jay Rajamony.
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Vladimir Novakovski – Lighter: The Orderbook for all of Ethereum (S7E22)
Sep 2201:03:56Tap to summarizeIn this episode I’m joined by Vladimir Novakovski, founder and CEO of Lighter, a decentralized crypto exchange.To kick off the conversation, we explore Lighter's three big design choices: it’s built as a custom Layer-2 on Ethereum, it relies on zero-knowledge circuits for proving transactions, and it runs with a private sequencer. Don't worry – if that sounds like gibberish, Vlad explains it all. Each of those decisions comes with trade-offs — but also big potential advantages.We discuss why Ethereum remains the natural home for new rollups, from inheriting its security to tapping into DeFi’s growing composability. We also break down what zk circuits actually are, why they matter for trust and security in a derivatives exchange, and how they’re verified in practice.From there, we tackle the business side: how you bootstrap liquidity in a brand-new DEX, why Lighter went with an unusual fee model and the key lessons learned during an extended private beta.Finally, we zoom out to the bigger picture. What might DeFi look like if composability really takes hold? Could specialized rollups like Lighter become the backbone of an on-chain financial system, rather than just another venue for speculation?Please enjoy my conversation with Vlad Novakovski.
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Antti Ilmanen - Understanding Return Expectations (S7E21)
Sep 1501:14:06Tap to summarizeIn this episode, I speak with Antti Ilmanen, Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management.Antti has long been one of the most thoughtful voices in the world of expected returns, having written not one, but two landmark books on the subject. But in his latest paper series, he returns to the topic with fresh urgency—probing the difference between objective and subjective expectations, and asking why even rational models can go so wrong in real time.We explore everything from CAPE ratios and market timing accusations, to why equity investors tend to extrapolate while bond investors expect mean reversion. We dig into how behavioral biases, valuation anchors, and structural shifts collide when forming capital market assumptions—and how Antti and the AQR team try to navigate that mess themselves.If you’re in the business of long-term forecasting or just curious why markets often act like they’ve never read the textbooks, this is a conversation you won’t want to miss.Please enjoy my conversation with Antti Ilmanen.
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Chris Carrano – Designing Practical Factor Models (S7E20)
Sep 200:56:04Tap to summarizeIn this episode, I speak with Chris Carrano, Vice President of Strategic Research at Venn by Two Sigma.Chris has had a rare vantage point in the world of factors — spanning smart beta, long/short hedge funds, and risk modeling — and that experience has shaped a thoughtful view of what factors really are and how they can be practically used.We dive into the philosophy and design behind Venn: why it uses just 18 orthogonalized factors, how it blends Lasso and OLS to reduce overfitting, and why it prioritizes interpretability over complexity.We also tackle messy real-world challenges: how to analyze private markets with sparse data, how to trust synthetic return streams, and where to draw the line when using monthly snapshots that embed structural portfolio shifts.Finally, we explore what it means to make factor results actionable—whether through stress testing, residual interpretation, or portfolio diagnostics.Please enjoy my conversation with Chris Carrano.
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Jeff Rosenberg – The Past, Present, and Future of Systematic Fixed Income (S7E19)
Aug 1801:17:51Tap to summarizeIn this episode I speak with Jeffrey Rosenberg, Managing Director at BlackRock where he leads active and factor investments for mutual funds, ETFs, and institutional portfolios for the Systematic Fixed Income team.In the first half of the conversation we discuss the history of quant fixed income. Specifically, its evolution within the halls of sell-side institutions and how solutions were shaped by demand for underwriting, securitization, and derivatives.We then make the leap to the buyside, where Jeff outlines the topology of systematic fixed income solutions at BlackRock. We quickly dive into the details, discussing topics such as: why factor investing exists predominately in the credit space, why characteristic specificity within the fixed income space is so important, why quant fixed income needs more PMs but fewer researchers than quant equity, how ETFs changed the liquidity landscape, and whether the equity pod-shop model is possible for fixed income. What ultimately becomes clear, through both explanation and example, is that while the terms and ideas of systematic fixed income will be familiar to those in the quant equity space, the Devil lies deeply in the details of implementation.I hope you enjoy my conversation with Jeff Rosenberg.
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Victor Haghani – The Last of the Tactical Allocators (S7E13)
Dec 9, 202401:12:20Tap to summarizeMy guest today is Victor Haghani, founder of Elm Wealth.Victor is, in many ways, one of the last tactical asset allocators standing after the 2010s. That might be because Victor wouldn’t categorize himself as such. Rather, he sees his dynamic index investing approach not as a tactical alternative to traditional static portfolios, but as the rational approach for anyone starting from first principles. This conversation dances between theory and implementation. Victor is just as comfortable sharing his thoughts on where equity market risk comes from as he is defending payout-adjusted CAPE as a metric for forecasting long-run returns. If you’re passionate about asset allocation, you’ll find lots to think about in this one.Please enjoy my conversation with Victor Haghani.
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Jonathan Glidden - Saving Delta's Pension with Portable Alpha
Dec 4, 202401:09:20Tap to summarizeIn this episode of the Get StackedInvestment Podcast, Corey and Rodrigo have an insightful conversation withJonathan Glidden, Chief Investment Officer of the Delta Airlines Pension Plan.Since joining in 2011, Jonathan has been pivotal in elevating Delta’s pensionplan funded status from 38% to over 100%. They delve into Jonathan'sunconventional career journey, his implementation of portable alpha strategies,and share valuable lessons learned from turbulent financial periods such as2008 and 2020. Whether you're a seasoned investor or new to the concept ofportable alpha, this episode provides a masterclass on optimizing pension planmanagement through innovative investment strategies.
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Farouk Jivraj - The Art & Science of Using Alternative Risk Premia (S7E12)
Oct 7, 202401:11:22Tap to summarizeIn this episode, I speak with Farouk Jivraj, Portfolio Manager and Head of Alternative Risk Premia at Fidelity Investments’ Asset Management Solutions division.After spending nearly a decade on the sell side, Farouk joined Fidelity in 2021 with the goal of building out an alternative risk premium platform, tapping into the best of what both the sell-side QIS desks have to offer and what can be built in-house.We spend the majority of the conversation peeling apart the layers of Farouk’s 5-step process for implementing alternative risk premia strategies. He shares his thoughts on how to classify different premia, why thoughtfully-constructed peer groups are an important evaluation tool, how to go about selecting specific strategies, how to construct portfolios of alternative risk premia, and the actual rubber-meets-road implementation practicalities.Please enjoy my conversation with Farouk Jivraj.
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Giuseppe Paleologo - Multi-Manager Hedge Funds & Thinking Deeply About Simple Things (S7E11)
Sep 2, 202401:32:18Tap to summarizeIn this episode I chat with Giuseppe Paleologo – or Gappy as he likes to be called. Currently on garden leave, Gappy has previously worked in Risk & Quantitative Analytics at Citadel, as Head of Enterprise Risk at Millennium, and most recently as Head of Risk Management at HRT.We begin the conversation with a discussion as to what a quant researcher actually does at a multi-manager hedge fund. As a semi-support role to the fundamental PMs, Gappy explains how portfolio manager coverage, factor hedging, and internal alpha capture can all work together to help maximize firm P&L.We then discuss the broad field of factor research and portfolio construction, where Gappy shares some of his strongly held views, both on how factors should be constructed as well as how they should be utilized. Topics include returns versus characteristics, mixing versus integrating alpha signals, single- versus multi-period optimization, and linear- versus non-linear models.Please enjoy my conversation with Giuseppe Paleologo.
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Talk Your Book: Return Stacking [REPLAY]
Aug 20, 202400:37:19Tap to summarizeOn this episode, Ben Carlson and Michael Batnick are joined by Corey Hoffstein of Newfound Research to discuss: managed futures, return stacking, using leverage effectively, and much more!
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