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
Kris Abdelmessih - Life Through a Volatility Lens (S7E10)
Jul 29, 202401:13:06Tap to summarizeMy guest in this episode is Kris Abdelmessih, co-founder of moontower.ai.Kris began his career at SIG, where he worked as a market maker in several different option pits, before moving to Parallax where he ran a relative value commodities volatility book. For the last five years, Kris has been writing on his blog Party at the Moontower, which is one of my favorite reads for all things probability, payoff space, trading, optionality, and seeing the world through a volatility lens.Kris is a passionate educator, so it should come as no surprise that learning is a key thread throughout this entire episode. Kris discusses how learning is accelerated in the pits and how we can think about replicating it in electronic space. Kris discusses what he had to unlearn and relearn in his move from market making to relative value trading. He also shares his thoughts about how firm lineage influences how you learn to trade markets.Finally, we discuss Kris’s newest venture, moontower.ai, which seeks to provide a “volatility lens” to opinionated traders to help them better express their bets in option space.There is a lot of experience to unpack in this one. I hope you enjoy my conversation with Kris Abdelmessih.
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Bill Gebhardt - Replicating Discretionary Commodity Trading Systematically (S7E9)
Jul 1, 202400:51:36Tap to summarizeIn this episode I speak with Bill Gebhardt, founder of 10Dynamics.Bill spent the better part of his career as a discretionary energies trader, with roles at Koch Industries, Merrill Lynch, Deutsche Bank, and Trailstone. In May 2020 he struck out on his own to co-found 10Dynamics.Given Bill’s fundamental and discretionary background, it may come as a surprise that 10Dynamics runs a fully systematic process. This dichotomy serves as the foundation for much of our conversation, where Bill provides insight into where and how his discretionary background informs the systematic process, both from a signal and a risk management perspective.We discuss the types of signals 10Dynamics incorporates into their process, how their risk management system is designed to reflect Bill’s experience managing discretionary traders, and how they’ve designed their operational risk management to allow them to trade intraday with a small team.Please enjoy my conversation with Bill Gebhardt.
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Nicolas Mirjolet - Multivariate Trend Following (S7E8)
May 27, 202401:05:09Tap to summarizeIn this episode, I speak with Nicolas Mirjolet, CEO and Co-Head of Research at Quantica Capital.We begin with Nicolas’s experience operating a statistical arbitrage fund, where he provides his thoughts as to what makes a strategy easier or harder to scale a business on. Nicolas also provides some context for his somewhat counter-intuitive view that the larger players had a bigger edge in this capital constrained space.We then transition to Quantica’s flagship managed futures program. Nicolas explains that while Quantica is a price-based trend follower, they apply a multivariate approach to their signal analysis. We discuss how the approach works and how it contrasts against a standard univariate approach. Specifically, Nicolas shares his thoughts on how the multivariate approach impacts the portfolio return profile and why you may want more or fewer variables in your signal universe than your tradable market universe.We end the conversation with Quantica’s most recent quarterly research paper, which provides quantitative insight into the convexity versus robustness tradeoff trend managers make when they add more markets to their portfolio.Please enjoy my conversation with Nicolas Mirjolet.
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[PREVIEW] Enter the New World of Return Stacking | Get Stacked Podcast
May 6, 202401:14:42Tap to summarizeWelcome to the inaugural episode of the Get Stacked Investment Podcast. This episode brings together Corey Hoffstein, Rodrigo Gordillo, Mike Philbrick, and Adam Butler to dive deep into the concepts of Return Stacking, market efficiency, and investment strategies beyond traditional stock picking. Providing insights into Return Stacking's relevance in today's investment landscape, the importance of structured diversification to enhance portfolio sustainability and its potential to create excess returns with more confidence than traditional stock picking.This podcast episode serves as a comprehensive introduction to Return Stacking and provides valuable insights for investors looking to navigate the complexities of modern markets with innovative strategies.
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Markku Kurtti – Diversification is a Negatively Priced Lunch (S7E7)
Apr 22, 202400:57:53Tap to summarizeIn this episode I chat with Markku Kurtti, author of the blog Outcast Beta.Markku is classically trained as an electrical engineer and works on receiver algorithms for mobile phones. A passion for investing, however, lead him to pursue an MS in Finance and an interview with Ed Thorp compelled him to devote his time to better understanding compounding processes.This obsession has driven him to develop a number of analytical and numerical models that provide differentiated insights into topics such as “why do most individual stocks historically underperform cash,” “how many stocks should an active manager actually hold,” and “how does the uncertainty of uncertainty help explain the equity risk premium puzzle?”With Markku’s work, I’m reminded of the phrase: all models are wrong, but some models are useful. His outsider’s take provides some unique insights into the benefits, and opportunity costs, of diversification.I hope you enjoy my conversation with Markku Kurtti.
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Andrew Beer & Adam Butler - Attack of the Managed Futures Clones
Sep 25, 2023Tap to summarizeIn 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.
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Dean Curnutt - The Reflexivity of Equity Volatility (S6E16)
Sep 11, 2023Tap to summarizeIn 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.
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Kevin Cole - Systematic Multi-Strategy from 100+ Models (S5E12)
Aug 29, 2022Tap to summarizeIn 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 conversation discussing how Campbell organizes its research team and process. Kevin explains how the team is organized and how the agenda is set. He also introduces the management process they’ve adopted called “Pulse,” providing the framework for which the team operates. Please enjoy my conversation with Kevin Cole.
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LightSpringFox - Crypto Market Making (S5E2)
Jun 6, 2022Tap to summarizeIn 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 of high frequency, how crypto and traditional finance market making deviate, and what Mr. Fox considers the “hardest problem in HFT.” Without further ado, please enjoy my conversation with LightSpringFox.
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Michael Green - The Active Impact of Passive Investing (S5E1)
May 30, 2022Tap to summarizeIn 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 not enough to do the analysis: there needs to be a trade there as well.” Michael has become well known for his view that passive investing may now represent a systemic risk to markets. We discuss the origins for this view, how it has evolved, counter-points, and the trade that pairs with the analysis. Finally, we discuss the Simplify High Yield PLUS Credit Hedge ETF, the first strategy from Simplify that really has Michael’s fingerprints all over it. I hope you enjoy my conversation with Michael Green.
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