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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 - 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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Scott Phillips is just the second independent trader I’ve interviewed for this show.

Like many independent traders, Scott found that his constraints – including the size of their capital pool, the ability to execute trades efficiently, and a lack of supporting infrastructure – made trading anything but loose-pants trend following almost impossible in traditional markets.

These constraints led Scott to look for easier markets to trade: markets where the edges were so big they could survive inefficient implementations. All of which brought Scott to crypto in the late 2010s.

While our conversation is, at a high level, mostly about trend following, we spend a lot of time discussing what makes trading these markets unique. For example, with tens of thousands of spot cryptocurrencies, how do you choose what to trade? How do you choose which venues to trade at when liquidity is so fragmented? How do you deal with the fact that both crime and degenerate gambling are real idiosyncratic factors?

More than anything, painted between the lines, Scott provides a master class in thinking about edges.

I hope you enjoy my conversation with Scott Phillips.

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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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Flirting with Models - Kai Wu - Mining Unstructured Data for the Intangible (S5E6)
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07/03/22 • 50 min

My guest in this episode is Kai Wu, CEO and founder of Sparkline Capital.

Kai is a pioneer in the measurement of intangible value. Using machine learning, he tackles unstructured data sources like patent filings, earnings transcripts, LinkedIn network connections, and GitHub code repositories to try to measure value across the four key pillars of Brand, Intellectual Property, Network, and Human Capital.

We discuss why intangibles are important, how they differ from the traditional factor zoo, the opportunities and risks of unstructured data, and how even big data can have small data problems within it.

Finally, we discuss Kai’s most recent applications of his research to the world of crypto.

Please enjoy my conversation with Kai Wu.

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Flirting with Models - Tobias Carlisle - Thinking Like an Acquirer (S1E2)
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06/26/18 • 58 min

This episode I chat with Toby Carlisle, a managing member at Carbon Beach Asset Management and author of popular value investing books such as Deep Value and The Acquirer’s Multiple. Toby’s approach to value investing evolved from his observations as a corporate lawyer in Australia during the burst of the dot-com bubble. Watching investors target cash-rich, business poor dot-com companies confused his traditional, discounted-cash flow mentality. But after watching these activists get their hands dirty, Toby realized that even bad companies can be attractive if they’re trading at a deep discount to liquidation value.

We navigate a wide range of topics, including uses and limits of quantitative investing in the realm of special situations, how Apple can be a deep value stock, and why using the opposite of your signal to build a short book might be a bad idea.

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In 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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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 alternative thinking in quant equity.

It was really tough to clip this episode. Vivek’s comments about Chinese markets provide a tremendous example about finding alpha in alternative markets. But I’ll leave that for you to go back and dig out!

Okay, let’s dive in.

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Flirting with Models - Hari Krishnan - Market Tremors & Tail Hedging (S5E11)
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08/08/22 • 64 min

Today I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors.

We begin with a discussion of Hari’s newest book, Market Tremors, and the main theoretical idea: Mean Field Theory. Hari lays out both the philosophical underpinnings of the concept as well as how one might interpret it in practice. This leads into a natural discussion of dominant agents, including examples of who they are, how we might go about identifying them, and why they are so important to consider.

In the back half of the conversation, we tackle some more practical considerations of tail risk hedging. This includes key differences between equity and rates markets, how we might structure hedges in today’s market environment, how to navigate path dependency, and why it’s all just a “bag of tricks.”

Please enjoy my conversation with Hari Krishnan.

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Flirting with Models - Corey Hoffstein - Rebalance Timing Luck (S2E11)
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12/09/19 • 47 min

My guest today is ... me. But rather than interview myself, my co-portfolio manager Nathan Faber joins the podcast to take the reigns.

In this episode, we talk all things rebalance timing luck. It’s been an obsession of mine for years and something we believe to be a dramatically misunderstood and outright ignored source of risk in portfolios.

We discuss how we first came across the topic, some recent research into it, important implications for the industry at large, and how we can try to solve for it.

I hope you enjoy the conversation.

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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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FAQ

How many episodes does Flirting with Models have?

Flirting with Models currently has 109 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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