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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.
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Top 10 Flirting with Models Episodes

Goodpods has curated a list of the 10 best Flirting with Models episodes, ranked by the number of listens and likes each episode have garnered from our listeners. If you are listening to Flirting with Models for the first time, there's no better place to start than with one of these standout episodes. If you are a fan of the show, vote for your favorite Flirting with Models episode by adding your comments to the episode page.

Flirting with Models - Artur Sepp - Conditional Beta (S2E5)
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06/08/19 • 74 min

My guest is Artur Sepp, Director of Research at Quantica Capital AG in Zurich.

In 2008, Artur was working on structured credit products for Merrill Lynch, giving him a front-row seat to the ensuing credit crisis. We use this experience as a jumping off point for our conversation, with Artur providing both pragmatic and philosophical lessons learned.

One of those key lessons was the role of liquidity, which Artur argues is the key factor behind many premia we see in the market.

Artur’s focus on liquidity grew as he transitioned to London in as an equity derivatives quant, where he was responsible for building models to hedge options on illiquid underlying assets. Here we get into the nitty gritty, discussing a paper Artur wrote about the practical realities of delta-hedging options under a framework of discrete hedging and transaction costs.

In 2015 Artur moved to Julius Baer’s advisory solutions group in Switzerland where he served as a client-facing advocate for alternative risk premia strategies. Here Artur had to learn how to translate his deep quantitative knowledge into client understanding. He shares with us some techniques and tricks he learned for effectively communicating what can be rather complex ideas.

Today Artur works at Quantica Capital, whose flagship product is a Managed Futures strategy. I ask Artur for his opinion on recent struggles in the managed futures space and what he thinks the future for trend following managers will look like. You definitely won’t want to miss his answer.

Artur is a fountain of quant knowledge and offers the unique perspective of someone who has both spent time deep in the weeds and time trying to explain the esoteric. There are lots of gems in this one, so stay tuned.

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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.

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Flirting with Models - Wayne Himelsein - The Quant Philosopher (S2E7)
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06/17/19 • 75 min

In this episode I chat with Wayne Himelsein, president and chief investment officer at Logica Capital. To our conversation Wayne brings over two decades of experience managing long/short portfolios, ranging from statistical arbitrage to factor long/shorts.

For as deep in the weeds as he liked to go as a quant, Wayne has a philosopher’s streak and Twitter is his soapbox. Of course, 280 characters can be limiting, so I start out conversation by putting Wayne in the hot seat and ask him to explain the deeper meanings behind some of his recent tweets.

Using these philosophies as a foundation, we then dive into long/short portfolios. We talk about the practical difficulties of managing these strategies and Wayne explains why he believes that beta-neutral is a fool’s pursuit.

We then switch topics to tail risk hedging. These sorts of strategies are notorious for their bleed, and we discuss whether the payoff is ultimately worth the cost of insurance. Wayne describes a few ways in which the bleed can be managed and the ensuing tradeoffs with each method.

In discussing both long/short and tail risk hedging strategies, I ask Wayne what due diligence questions he would ask if he were evaluating another manager. I find this question always provides great insight into what managers of these strategies actually think is important. Wayne does not disappoint.

I hope you enjoy my conversation with Wayne Himelsein.

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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.

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Flirting with Models - JD Gardner - "Win Bigger Than You Lose" (S1E5)
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06/26/18 • 53 min

In this episode, I am joined by JD Gardner, founder and managing member at Aptus Capital. In his time in the industry, JD has served in the role of associate financial advisor, analyst to a deep-value equity fund, and analyst at short-term, systematic, managed-futures fund.

These varying experiences have mixed to culminate into JD's ultimate philosophy: it's all about the investor's return, not the investment return.

I like to say, "No pain, no premium" as pithy shorthand for the notion that long-term outperformance requires short-term pain along the way. For JD and the team at Aptus, their funds are first and foremost governed by the question of achievability. For them, the contest is not in the theoretical purity of your factor exposure, but rather whether the investor can stick around long enough to harvest it.

A theoretically sub-optimal solution can be best if it helps the investor bridge the behavior gap.

In light of this philosophy, the team at Aptus has launched two strategies. We discuss their Fortified Value index, one of the more unique spins on value investing that I have come across. Not only does the strategy aim to employ a measure of value that leads to greater investor returns, but it also rolls out-of-the-money put options in effort to protect the portfolio against sudden, short-term declines in value that may otherwise invite client misbehavior.

Classic Graham and Dodd value this is not. But for some, JD argues, a much more achievable alternative.

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In 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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Flirting with Models - 15 Ideas, Frameworks, and Lessons from 15 Years
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08/28/23 • 33 min

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.

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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 number of complications to the portfolio optimization process. For example, under classic power utility, lower volatility is always preferred. But if you’re an investor expecting significant shortfall with respect to your wealth targets, increased volatility may be something very much worth pursuing.

We spend plenty of time in the weeds discussing topics such as: the limitations of dynamic programming via backwards indication, the term structure of return variance, ergodicity economics, and portfolio selection sensitivity to utility function choices. And while these are all important details, at the end of it all, what Martin stresses most is that it’s the reformulation of the problem being solved that ultimately leads to a more pragmatic solution for allocators.

Please enjoy my conversation with Martin Tarlie.

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Flirting with Models - Grug Capital – Grug (Finally) Teaches Us MEV (S6E12)
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07/24/23 • 47 min

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 long-tail approaches he has deployed in the past as well as some of the risks associated with them. We discuss the pro-cyclical nature of some of these strategies, the role of retail flow, and the edge in being able to deploy rapidly.

Grug also provides his thoughts on the impact of alt-L1’s and L2’s on MEV, airdrop strategies, and the end game of MEV if Ethereum infrastructure becomes too centralized.

Please enjoy my conversation with Grug.

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Chris Meredith is co-Chief Investment Officer and Director of Research at O’Shaughnessy Asset Management. In this episode, we focus on the latter title and talk all about what it means to develop a strong research program.

Our conversation centers around what Chris considers to be the three key pillars: data, tools, and people.

Chris provides insight into how data sets have changed since the beginning of his career, starting with highly structured price and fundamental data to so-called “pointy,” highly specific data sets and now completely unstructured blobs of information. He offers his thoughts into how this growing information set represents both an opportunity for researchers as well as a risk, requiring careful forethought into how it is going to be attacked.

Our discussion of tools covers both the digital and the physical. We talk about the influence of open-source software, the growing role of machine learning, and the operational benefits of treating each researcher’s laptop like a stand-alone research sandbox.

It is easy to tell that while Chris has a passion for the data and tools, he truly believes that they are for naught without the right people and he shares some of his ideas on how to maximize the potential of his team. Chris also sheds light on the OSAM research partners program, which grants 3rd party researchers access to the OSAM data platform. This new initiative is a highly unusual approach for a traditionally secretive industry, but early papers coming from their collaborations suggest it may bear significant fruit.

Please enjoy my conversation with Chris Meredith.

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FAQ

How many episodes does Flirting with Models have?

Flirting with Models currently has 106 episodes available.

What topics does Flirting with Models cover?

The podcast is about Investing, Podcasts and Business.

What is the most popular episode on Flirting with Models?

The episode title 'Devin Anderson – Strategy versus Structure in Tail Hedging (S6E14)' is the most popular.

What is the average episode length on Flirting with Models?

The average episode length on Flirting with Models is 60 minutes.

How often are episodes of Flirting with Models released?

Episodes of Flirting with Models are typically released every 7 days.

When was the first episode of Flirting with Models?

The first episode of Flirting with Models was released on Jun 26, 2018.

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