Corey Hoffstein - Rebalance Timing Luck (S2E11)

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.

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

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.

Previous Episode

Daniel Grioli - Thinking like a Fox (S2E1)

My guest in this episode is Daniel Grioli. Daniel cut his teeth in the industry at Deutsche Bank in London, where he was responsible for valuing structured equity and hedge fund of fund products targeted at continental Europe. His timing of joining Deutsche, while perhaps somewhat unfortunate for him, proves fortunate for us as he retells a few war stories and lessons learned from the desk leading into 2008.

During the crisis, Daniel found himself back in Australia working for a pension fund, where he made a career in manager evaluation, selection, and combination. That makes Daniel somewhat unique among prior podcast guests, as he provides us some insight into the decision making of capital allocators on the other side of the table.

The breadth of managers evaluated gave Daniel some unique insights that he shares with us around where he believes the limits of quantitative and discretionary management lie. He also shares his framework for manager selection, which he calls Via Negativa.

Presently, Daniel is leveraging this experience to build what he calls a “best ideas” portfolio, exploiting 13F reporting data to create a high conviction equity portf olio for his clients.

Finally, we talk about the i3 podcast that Daniel hosts and some of the most interesting guests he has interviewed.

Without further ado, my conversation with Daniel Grioli.

Next Episode

K.C. Hamann - Quantifying Conviction (S3E1)

My guest today is K.C. Hamann, founder of AQIS LLC.

K.C. is a Warren Buffett disciple and spent his first decade in the industry working as an analyst at discretionary, deep value long/short equity hedge funds. Which probably makes him sound like an odd guest for a podcast all about quantitative investing.

K.C.’s experiences, however, lead him to identify a number of biases that he believes pollute the stock picking skills of discretionary analysts. And thinking of a hedge fund as a system whose first goal is survival, he believes that these biases are durable.

For K.C., 13F filings are prospect theory in action. By modeling both the universal and idiosyncratic biases of a manager, K.C. seeks to better identify cases of true conviction which often do not correspond to position size. And it is in these high conviction ideas that K.C. believes are the best opportunities to generate excess returns.

I hope you enjoy my conversation with K.C. Hamann.